Using econometrics: a practical guide
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boston [u.a.]
Addison-Wesley
2001
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| Edition: | 4. ed. |
| Series: | The Addison-Wesley series in economics
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 639 S. graph. Darst. |
| ISBN: | 032106481X |
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| adam_text | Titel: Using econometrics
Autor: Studenmund, Arnold H.
Jahr: 2001
CONTENTS
Preface, xi
PART I THE BASIC REGRESSION MODEL 1
Chapter 1 An Overview of Regression Analysis 3
1.1 What Is Econometrics? 3
1.2 What Is Regression Analysis? 7
1.3 The Estimated Regression Equation 16
1.4 A Simple Example of Regression Analysis 19
1.5 Using Regression to Explain Housing Prices 22
1.6 Summary and Exercises 25
Chapter 2 Ordinary Least Squares 34
2.1 Estimating Single-Independent-Variable Models with OLS 34
2.2 Estimating Multivariate Regression Models with OLS 41
2.3 Evaluating the Quality of a Regression Equation 47
2.4 Describing the Overall Fit of the Estimated Model 48
2.5 An Example of the Misuse of R2 53
2.6 Summary and Exercises 56
Chapter 3 Learning to Use Regression Analysis 63
3.1 Steps in Applied Regression Analysis 63
3.2 Using Regression Analysis to Pick Restaurant Locations 72
3.3 Summary and Exercises 78
Chapter 4 The Classical Model 84
4.1 The Classical Assumptions 84
4.2 The Normal Distribution of the Error Term 92
4.3 The Sampling Distribution of â 95
4.4 The Gauss-Markov Theorem and the Properties of OLS
Estimators 103
4.5 Standard Econometric Notation 104
4.6 Summary and Exercises 106
VII
vüi CONTENTS
Chapter 5 Hypothesis Testing 112
5.1 What Is Hypothesis Testing? 113
5.2 The t-Test 120
5.3 Examples of t-Tests 128
5.4 Limitations of the i-Test 139
5.5 The F-Test of Overall Significance 142
5.6 Summary and Exercises 145
PART II VIOLATIONS OF THE CLASSICAL
ASSUMPTIONS 155
Chapter 6 Specification: Choosing the Independent
Variables 156
6.1 Omitted Variables 157
6.2 Irrelevant Variables 165
6.3 An Illustration of the Misuse of Specification Criteria 168
6.4 Specification Searches 170
6.5 Lagged Independent Variables 176
6.6 An Example of Choosing Independent Variables 178
6.7 Summary and Exercises 181
6.8 Appendix: Additional Specification Criteria 192
Chapter 7 Specification: Choosing a Functional Form 198
7.1 The Use and Interpretation of the Constant Term 199
7.2 Alternative Functional Forms 201
7.3 Problems with Incorrect Functional Forms 213
7.4 Using Dummy Variables 216
7.5 Slope Dummy Variables 220
7.6 Summary and Exercises 224
7.7 Appendix: More Uses for the F-Test 237
Chapter 8 Multicollinearity 243
8.1 Perfect versus Imperfect Multicollinearity 244
8.2 The Consequences of Multicollinearity 248
8.3 The Detection of Multicollinearity 255
8.4 Remedies for Multicollinearity 258
8.5 Choosing the Proper Remedy 264
8.6 Summary and Exercises 271
8.7 Appendix: The SAT Interactive Regression Learning Exercise 281
CONTENTS ix
Chapter 9 Serial Correlation 310
9.1 Pure versus Impure Serial Correlation 310
9.2 The Consequences of Serial Correlation 318
9.3 The Durbin-Watson d Test 324
9.4 Generalized Least Squares 329
9.5 Summary and Exercises 335
Chapter 10 Heteroskedasticity 345
10.1 Pure versus Impure Heteroskedasticity 346
10.2 The Consequences of Heteroskedasticity 352
10.3 Testing for Heteroskedasticity 355
10.4 Remedies for Heteroskedasticity 362
10.5 A More Complete Example 369
10.6 Summary and Exercises 375
Chapter 11 A Regression User s Handbook 389
11.1 A Regression User s Checklist 390
11.2 A Regression User s Guide 393
11.3 Running Your Own Regression Project 393
11.4 Economic Data 397
11.5 The Ethical Econometrician 401
11.6 Summary 403
11.7 Appendix: The Housing Price Interactive Exercise 403
PART III EXTENSIONS OF THE BASIC REGRESSION
MODEL 409
Chapter 12 Time-Series Models 410
12.1 Koyck Distributed Lag Models 411
12.2 Serial Correlation and Koyck Distributed Lags 417
12.3 Granger Causality 422
12.4 Spurious Correlation and Nonstationarity 424
12.5 Summary and Exercises 428
Chapter 13 Dummy Dependent Variable Techniques 434
13.1 The Linear Probability Model 434
13.2 The Binomial Logit Model 442
13.3 Other Dummy Dependent Variable Techniques 448
13.4 Summary and Exercises 452
CONTENTS
Chapter 14 Simultaneous Equations 462
14.1 Structural and Reduced-Form Equations 463
14.2 The Bias of Ordinary Least Squares (OLS) 469
14.3 Two-Stage Least Squares (2SLS) 473
14.4 The Identification Problem 483
14.5 Summary and Exercises 488
14.6 Appendix: Errors in the Variables 496
Chapter 15 Forecasting 499
15.1 What Is Forecasting? 500
15.2 More Complex Forecasting Problems 504
15.3 ARIMA Models 512
15.4 Summary and Exercises 515
Chapter 16 Statistical Principles 520
(written by Gary Smith)
16.1 Describing Data 520
16.2 Probability Distributions 529
16.3 Sampling 543
16.4 Estimation 546
16.5 Hypothesis Tests 554
16.6 Summary and Exercises 562
Appendix A Answers to Even-Numbered Exercises 569
Appendix  Statistical Tables 605
Index 620
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| spelling | Studenmund, Arnold H. 1944- Verfasser (DE-588)124074693 aut Using econometrics a practical guide A. H. Studenmund 4. ed. Boston [u.a.] Addison-Wesley 2001 XIV, 639 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Addison-Wesley series in economics Regressionsanalyse - Ökonometrie Econometrics Regression analysis Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf 1\p (DE-588)4151278-9 Einführung gnd-content 2\p (DE-588)4123623-3 Lehrbuch gnd-content Ökonometrie (DE-588)4132280-0 s Regressionsanalyse (DE-588)4129903-6 s 3\p DE-604 DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009401477&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Studenmund, Arnold H. 1944- Using econometrics a practical guide Regressionsanalyse - Ökonometrie Econometrics Regression analysis Regressionsanalyse (DE-588)4129903-6 gnd Ökonometrie (DE-588)4132280-0 gnd |
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| title | Using econometrics a practical guide |
| title_auth | Using econometrics a practical guide |
| title_exact_search | Using econometrics a practical guide |
| title_full | Using econometrics a practical guide A. H. Studenmund |
| title_fullStr | Using econometrics a practical guide A. H. Studenmund |
| title_full_unstemmed | Using econometrics a practical guide A. H. Studenmund |
| title_short | Using econometrics |
| title_sort | using econometrics a practical guide |
| title_sub | a practical guide |
| topic | Regressionsanalyse - Ökonometrie Econometrics Regression analysis Regressionsanalyse (DE-588)4129903-6 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Regressionsanalyse - Ökonometrie Econometrics Regression analysis Regressionsanalyse Ökonometrie Einführung Lehrbuch |
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