Statistical methods in econometrics:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
San Diego [u.a.]
Academic Press
1993
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| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | X, 405 S. graph. Darst. |
| ISBN: | 0125768303 |
Internformat
MARC
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| 100 | 1 | |a Ramanathan, Ramu |d 1936- |e Verfasser |0 (DE-588)135909503 |4 aut | |
| 245 | 1 | 0 | |a Statistical methods in econometrics |c Ramu Ramanathan |
| 264 | 1 | |a San Diego [u.a.] |b Academic Press |c 1993 | |
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| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Economics -- Statistical methods | |
| 650 | 4 | |a Econometrics | |
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Datensatz im Suchindex
| _version_ | 1804122674103844864 |
|---|---|
| adam_text | CONTENTS
Preface ix
PART I PROBABILITY THEORY
1. Introduction 3
2. Basic Probability 7
2.1 Sample Space, Sample Points, and Events 7
2.2 Some Results from Set Theory 9
2.3 Probability: Definitions and Concepts 15
Exercises 24
3. Random Variables and Distributions 27
3.1 Distribution Function 28
3.2 Discrete Distributions 31
3.3 Continuous Distributions 35
3.4 Transformations of Random Variables 38
3.5 Characteristics of Distributions 40
3.6 Generating Functions 52
Exercises 57
4. Some Special Distributions 61
4.1 Discrete Distributions 61
4.2 Continuous Distributions 66
4.3 Extensions of Distributions 72
Exercises 74
iii
iv CONTENTS
5. Multivariate Distributions 79
5.1 Bivariate Distributions 79
5.2 Conditional Expectation 88
5.3 Conditional Variance 88
5.4 The Bivariate Normal Distribution 90
5.5 Bivariate Transformations 92
5.6 The Convolution Formula 96
5.7 Mixture Distributions 99
5.8 Bivariate Characteristic Functions 101
5.9 Multivariate Density Functions 104
5.10 The Multivariate Normal Distribution 105
5.11 The Chi square Distribution 111
5.12 Distributions of Quadratic Forms 113
5.13 Multinomial Distributions 116
Exercises 117
PART H STATISTICAL INFERENCE 123
6. Sampling Theory 125
6.1 Independent, Dependent, and Random Samples 126
6.2 Sample Statistic 127
6.3 Sampling Distributions 129
6.4 Monte Carlo Simulations of Data 137
Exercises 138
7. Asymptotic Distribution Theory 141
7.1 Different Types of Convergence 141
7.2 Relationships among Modes of Convergence 145
7.3 The Weak Law of Large Numbers 150
7.4 The Strong Law of Large Numbers 154
CONTENTS v
7.5 The Central Limit Theorem 155
7.6 Multivariate Central Limit Theorem 158
Exercises 159
8. Estimation 163
8.1 Small Sample Criteria for Estimators 164
8.2 Large Sample Properties of Estimators 169
8.3 The Likelihood Function 172
8.4 The Principle of Maximum Likelihood 177
8.5 Lower Bounds for Variances of Estimators 179
8.6 The Exponential Family of Distributions 182
8.7 Small Sample Properties of Maximum
Likelihood Estimators 184
8.8 Asymptotic Properties of Maximum
Likelihood Estimators 185
8.9 Joint Estimation of Several Parameters 185
8.10 Information Matrix and Generalized
Cramer Rao Inequality 187
8.11 Existence, Uniqueness, and Consistency of
Maximum Likelihood Estimators 192
8.12 Asymptotic Normality of Maximum 195
Likelihood Estimators
8.13 Numerical Procedure for Obtaining Maximum
Likelihood Estimators 197
Exercises 198
9. Tests of Hypotheses 205
9.1 Basic Concepts in Hypothesis Testing 205
9.2 The Neyman Pearson Fundamental Lemma 209
9.3 Monotone Likelihood Ratio 213
9.4 Applications to the Normal Distribution 215
9.5 Unbiased Tests 216
9.6 UMPU Tests for Multiparameter
Exponential Families 219
vi CONTENTS
9.7 Generalized Likelihood Ratio Tests 221
9.8 LR Tests on the Mean and S.D. of a
Normal Distribution 222
9.9 Testing the Equality of Means of
Two Normal Populations 225
9.10 Testing the Equality of Variances of
Two Normal Populations 227
9.11 The Wald, Likelihood Ratio, and
Lagrange Multiplier Tests 228
9.12 Test of Goodness of Fit 236
9.13 Confidence Intervals 240
Exercises 244
PART ni ECONOMETRICS 249
10. Multiple Regression 251
10.1 Assumptions of the Model 253
10.2 Procedures for Estimating the Parameters 257
10.3 Precision of the Estimates 262
10.4 The Goodness of Fit 263
10.5 Tests of Hypotheses 267
10.6 Model Selection Criteria 280
10.7 Nonnormality of Errors 282
10.8 Introduction to Bayesian Estimation 286
Exercises 287
11. Functional Forms and Dummy Variables 294
11.1 Dummy (or Binary) Independent Variables 294
11.2 Alternative Functional Forms 304
11.3 Nonlinearities in Parameters 309
11.4 Specification Errors 313
11.5 Multicollinearity 316
Exercises 324
CONTENTS vii
12. Nonspherical Disturbances 330
12.1 General Aitken Estimation 330
12.2 Heteroscedasticity 333
12.3 Autocorrelation 338
Exercises 350
APPENDICES
A Matrix Algebra 353
B Statistical Tables 363
References 390
Copyright Acknowledgments 396
Author Index 397
Subject Index 399
|
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| discipline | Mathematik Wirtschaftswissenschaften |
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| spelling | Ramanathan, Ramu 1936- Verfasser (DE-588)135909503 aut Statistical methods in econometrics Ramu Ramanathan San Diego [u.a.] Academic Press 1993 X, 405 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wirtschaft Economics -- Statistical methods Econometrics Statistik (DE-588)4056995-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf (DE-588)4151278-9 Einführung gnd-content Statistik (DE-588)4056995-0 s DE-604 Ökonometrie (DE-588)4132280-0 s http://www.loc.gov/catdir/description/els032/92043101.html Publisher description http://www.loc.gov/catdir/toc/els032/92043101.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005469030&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ramanathan, Ramu 1936- Statistical methods in econometrics Wirtschaft Economics -- Statistical methods Econometrics Statistik (DE-588)4056995-0 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4056995-0 (DE-588)4132280-0 (DE-588)4151278-9 |
| title | Statistical methods in econometrics |
| title_auth | Statistical methods in econometrics |
| title_exact_search | Statistical methods in econometrics |
| title_full | Statistical methods in econometrics Ramu Ramanathan |
| title_fullStr | Statistical methods in econometrics Ramu Ramanathan |
| title_full_unstemmed | Statistical methods in econometrics Ramu Ramanathan |
| title_short | Statistical methods in econometrics |
| title_sort | statistical methods in econometrics |
| topic | Wirtschaft Economics -- Statistical methods Econometrics Statistik (DE-588)4056995-0 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Wirtschaft Economics -- Statistical methods Econometrics Statistik Ökonometrie Einführung |
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