Introductory econometrics: [theory and applications]
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London u.a.
Longman
1993
|
| Edition: | 2. ed. |
| Series: | Longman economics series
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 436 S. graph. Darst. |
| ISBN: | 0582073782 |
Staff View
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| adam_text | Introductory Econometrics
Second Edition
R L Thomas
Longman
London and New York
Contents
Preface to the second edition viii
Acknowledgements x
1 Introduction 1
2 Multiple regression analysis 8
2 1 Revision of some important concepts in two-variable regression 8
2 2 Least squares estimation with more than one explanatory variable 12
2 3 Small-sample and large-sample properties of estimators 18
2 4 The classical linear multiple regression model 26
Further reading 37
Appendix: The properties of consistent estimators 37
Notes 38
3 Maximum likelihood estimation 40
3 1 Maximum likelihood estimation when variables are discrete 40
3 2 Maximum likelihood estimation when variables are continuous 44
3 3 Properties of maximum likelihood estimators 48
3 4 Maximum likelihood estimation and multiple regression SO
3 5 The computation of maximum likelihood estimates S3
Further reading 54
Notes 55
4 Some extensions of the classical linear model 56
4 1 Non-linear regression equations 56
4 2 Dummy variables 58
4 3 Testing for parameter stability 62
4 4 Restrictions on the parameters of regression equations 64
4 5 The likelihood ratio test 71
4 6 The Wald test 73
4 7 The Lagrange multiplier test 77
Further reading 81
Notes 81
5 Breakdowns in classical assumptions 83
5 1 Stochastic explanatory variables 83
5 2 Breakdowns in assumptions concerning the disturbances 93
5 3 Factors resulting in a lack of precision in the OLS estimators 111
Further reading 119
Notes 119
6 Lagged variables 121
6 1 Geometric lag distributions 123
6 2 The formation of expectations 125
6 3 Lags of adjustment 129
6 4 Rational lags 134
6 5 Polynomial or Almon lags 136
Further reading 139
Notes 139
7 The specification and selection of models 140
7 1 Specification errors 140
7 2 Model selection 144
7 3 Error-correction models 151
7 4 Stationarity 157
7 5 Co-integration 163
7 6 An overall strategy for model selection 168
Further reading 172
Notes 172
8 Simultaneous equation systems 173
8 1 The problems of identification and simultaneous equation bias 173
8 2 The estimation of simultaneous relationships 184
83* Maximum likelihood estimation of overidentified equations 191
8 4 The choice of estimation technique 194
Further reading 196
Notes 196
9 Demand analysis 197
9 1 Specification of the demand equation 197
9 2 The aggregation problem 199
9 3 Estimation from time series data 202
9 4 The estimation of Engel curves 207
9 5 The demand for durable goods 212
9 6 Estimating complete systems of demand equations 218
9 7 Early complete system models 221
9 8 Some later developments 226
9 9 Outstanding issues 231
Appendix 234
Notes 245
10 Consumption functions 247
10 1 General problems and early empirical work 247
10 2 The life-cycle hypothesis 252
10 3 The permanent income hypothesis 257
10 4 Prices, inflation and wealth effects 265
10 5 Error correction models of consumption 269
10 6 Rational expectations and consumption 274
10 7 Recent work on UK consumption 279
vi
10 8 Conclusions 283
Appendix A 284
Appendix B 293
Notes 294
11 Production functions 296
11 1 The neo-classical production function 296
11 2 Matching the models to the real world - some conceptual problems 304
11 3 Estimating the micro-production function 309
11 4 Estimating aggregate production functions 320
11 5 Estimating the constant elasticity of substitution production
function 326
11 6 Further developments 331
Appendix: Empirical exercise 336
Notes 344
12 The demand for money 346
12 1 Alternative specifications of the demand for money function 347
12 2 Some problems of estimation 349
12 3 The adjustment process 357
12 4 Empirical findings on the demand for money 364
12 5 The stability of demand for money functions 372
12 6 The ECM approach to the demand for money function 376
12 7 Buffer stock models 382
12 8 Conclusions 389
Appendix 390
Notes 399
13 Macroeconomic models 401
13 1 Some basic ideas 401
13 2 The development of United Kingdom macro-models 408
13 3 Two smaller macro-models 412
13 4 Forecasting in practice 414
13 5 The simulation of macro-models 416
13 6 Some outstanding issues 420
Notes 421
References 422
Index 432
Note: * denotes a more difficult section in the text
vn
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| indexdate | 2024-07-09T17:18:49Z |
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| isbn | 0582073782 |
| language | English |
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| physical | X, 436 S. graph. Darst. |
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| publisher | Longman |
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| series2 | Longman economics series |
| spelling | Thomas, R. L. Verfasser aut Introductory econometrics [theory and applications] R. L. Thomas 2. ed. London u.a. Longman 1993 X, 436 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Longman economics series Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Demokratie (DE-588)4011413-2 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf (DE-588)4151278-9 Einführung gnd-content Demokratie (DE-588)4011413-2 s DE-604 Ökonometrie (DE-588)4132280-0 s DE-188 Ökonometrisches Modell (DE-588)4043212-9 s Makroökonomisches Modell (DE-588)4074486-3 s HEBIS Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005519288&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Thomas, R. L. Introductory econometrics [theory and applications] Ökonometrisches Modell (DE-588)4043212-9 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Demokratie (DE-588)4011413-2 gnd Ökonometrie (DE-588)4132280-0 gnd |
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| title | Introductory econometrics [theory and applications] |
| title_auth | Introductory econometrics [theory and applications] |
| title_exact_search | Introductory econometrics [theory and applications] |
| title_full | Introductory econometrics [theory and applications] R. L. Thomas |
| title_fullStr | Introductory econometrics [theory and applications] R. L. Thomas |
| title_full_unstemmed | Introductory econometrics [theory and applications] R. L. Thomas |
| title_short | Introductory econometrics |
| title_sort | introductory econometrics theory and applications |
| title_sub | [theory and applications] |
| topic | Ökonometrisches Modell (DE-588)4043212-9 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Demokratie (DE-588)4011413-2 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Ökonometrisches Modell Makroökonomisches Modell Demokratie Ökonometrie Einführung |
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