Econometric theory and methods:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
Oxford Univ. Press
2004
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XVIII, 750 S. graph. Darst. |
| ISBN: | 0195123727 9780195123722 |
Staff View
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Record in the Search Index
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| adam_text | Contents
Preface ix
Data, Solutions,
1 Regression Models 1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
2
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
3
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
3.10
4
4.1
4.2
4.3
4.4
4.5
vi
4.6
4.7
4.8
4.9
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
6
6.1
6.2
6.3
6.4
6.5
6.6
■ 6.7
6.8
6.9
6.10
7
7.1
7.2
7.3
7.4
7.5
7.6
7.7
7.8
7.9
7.10
7.11
7.12
8
8.1
8.2
8.3
8.4
Contents
8.5
8.6
8.7
8.8
8.9
8.10
8.11
9
9.1
9.2
9.3
9.4
9.5
9.6
9.7
9.8
10
10.1
10.2
10.3
10.4
10.5
10.6
10.7
10.8
10.9
10.10
11
11.1
11.2
11.3
11.4
11.5
11.6
11.7
11.8
11.9
11.10
12
12.1
12.2
12.3
viii Contents
12.4
12.5
12.6
12.7
12.8
12.9
13
13.1
13.2
13.3
13.4
13.5
13.6
13.7
13.8
13.9
14
14.1
14.2
14.3
14.4
14.5
14.6
14.7
14.8
15
15.1
15.2
15.3
15.4
15.5
15.6
15.7
15.8
References
Author Index
Subject Index
Econometric Theory and Methods provides a unified treatment of modern econometric theory
and practical econometric methods. The geometrical approach to least squares is emphasized,
as is the method of moments, which is used to motivate a wide variety of estimators and tests.
Simulation methods, including the bootstrap, are introduced early and used extensively.
The book deals with a large number of modern topics. In addition to bootstrap and Monte
Carlo tests, these include sandwich covariance matrix estimators, artificial regressions,
estimating functions and the generalized method of moments, indirect inference, and kernel esti¬
mation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and
many involving simulation.
Econometric Theory and Methods is designed for beginning graduate courses. The book is suit¬
able for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-
year undergraduate course for students with a strong background in mathematics and statistics.
Features
•
is consistent both within and across chapters wherever possible.
•
students with valuable Intuition and allows them to avoid a substantial amount of tedious alge¬
bra later in the text.
° Modem Concepts Introduced Early: These include the bootstrap (Chapter
covariance matrices (Chapter
° Inclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as
they are needed rather than isolated in appendices or introductory chapters not linked to the
main body of the text.
•
the method of simulated moments, methods for unbalanced panel data, a variety of unit root
and coiritegration tests, conditional moment tests, nonnested hypothesis tests, kernel density
regression, and kernel regression.
»
by the authors in the instructor s manual. Particularly challenging exercises are starred, and their
solutions are available at the authors website, providing a way for instructors and interested stu¬
dents to cover advanced material.
Ancillaries
•
•
|
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| discipline | Wirtschaftswissenschaften |
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| spelling | Davidson, Russell Verfasser (DE-588)170393755 aut Econometric theory and methods Russell Davidson ; James G. MacKinnon New York, NY [u.a.] Oxford Univ. Press 2004 XVIII, 750 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Econometria larpcal Econometrie gtt Modèle économétrique rasuqam Méthode de simulation rasuqam Économétrie rasuqam Econometrics Theorie (DE-588)4059787-8 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Theorie (DE-588)4059787-8 s DE-604 MacKinnon, James G. Verfasser (DE-588)131697978 aut Digitalisierung UBPassau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010413377&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010413377&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Davidson, Russell MacKinnon, James G. Econometric theory and methods Econometria larpcal Econometrie gtt Modèle économétrique rasuqam Méthode de simulation rasuqam Économétrie rasuqam Econometrics Theorie (DE-588)4059787-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
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| title | Econometric theory and methods |
| title_auth | Econometric theory and methods |
| title_exact_search | Econometric theory and methods |
| title_full | Econometric theory and methods Russell Davidson ; James G. MacKinnon |
| title_fullStr | Econometric theory and methods Russell Davidson ; James G. MacKinnon |
| title_full_unstemmed | Econometric theory and methods Russell Davidson ; James G. MacKinnon |
| title_short | Econometric theory and methods |
| title_sort | econometric theory and methods |
| topic | Econometria larpcal Econometrie gtt Modèle économétrique rasuqam Méthode de simulation rasuqam Économétrie rasuqam Econometrics Theorie (DE-588)4059787-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Econometria Econometrie Modèle économétrique Méthode de simulation Économétrie Econometrics Theorie Ökonometrie |
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