Econometric theory and methods:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY ; Oxford
Oxford University Press
2009
|
| Edition: | International edition, [adapted version] |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Auf dem Titelblatt: "Not for sale in the USA or Canada. Content has been changed for the Middle East, Asia, and other markets. Adaption with the authors approvalContent has been changed for the Middle East, Asia, and other markets. Adaption with the author's approval. |
| Physical Description: | xviii, 750 Seiten Diagramme |
| ISBN: | 9780195391053 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface ix
Data, Solutions, and Corrections xviii
1 Regression Models 1
LI Introduction 1
1.2 Distributions, Densities, and Moments 3
1.3 The Specification of Regression Models 15
1.4 Matrix Algebra 22
1.5 Method-of-Moments Estimation 30
1.6 Notes on the Exercises 37
1.7 Exercises 38
2 The Geometry of Linear Regression 42
2.1 Introduction 42
2.2 The Geometry of Vector Spaces 43
2.3 The Geometry of OLS Estimation 54
2.4 The Frisch-Waugh-Lovell Theorem 62
2.5 Applications of the FWL Theorem 69
2.6 Influential Observations and Leverage 76
2.7 Final Remarks 81
2.8 Exercises 82
3 The Statistical Properties of Ordinary Least Squares 86
3.1 Introduction 86
3.2 Are OLS Parameter Estimators Unbiased? 88
3.3 Are OLS Parameter Estimators Consistent? 92
3.4 The Covariance Matrix of the OLS Parameter Estimates 97
3.5 Efficiency of the OLS Estimator 104
3.6 Residuals and Error Terms 107
3.7 Misspecification of Linear Regression Models 111
3.8 Measures of Goodness of Fit 115
3.9 Final Remarks 118
3.10 Exercises 118
4 Hypothesis Testing in Linear Regression Models 122
4.1 Introduction 122
4.2 Basic Ideas 122
4.3 Some Common Distributions 120
4.4 Exact Tests in the Classical Normal Linear Model 138
4.5 Large-Sample Tests in Linear Regression Models 146
v
Contents
4.6 Simulation-Based Tests
4.7 The Power of Hypothesis Tests
4.8 Final Remarks
4.9 Exercises
5 Confidence Intervals
5.1 Introduction
5.2 Exact and Asymptotic Confidence Intervals
5.3 Bootstrap Confidence Intervals
5.4 Confidence Regions
5.5 Heteroskedasticity-Consistent Covariance Matrices
5.6 The Delta Method
5.7 Final Remarks
5.8 Exercises
i.r»r
166
172
172
177
177
178
isr
IS!)
166
202
200
200
6 Nonlinear Regression
6.1 Introduction
6.2 Method-of-Moments Estimators for Nonlinear Models
6.3 Nonlinear Least Squares
6.4 Computing NLS Estimates 2^ s
6.5 The Gauss-Newton Regression 235
6.6 One-Step Estimation 21d
6.7 Hypothesis Testing ‘2 13
6.8 Heteroskedasticity-Robust Tests 250
6.9 Final Remarks 253
6.10 Exercises 253
7 Generalized Least Squares and Related Topics 257
7.1 Introduction 257
7.2 The GLS Estimator 258
7.3 Computing GLS Estimates 260
7.4 Feasible Generalized Least Squares 264
7.5 Heteroskedasticity 206
7.6 Autoregressive and Moving-Average Processes 270
7.7 Testing for Serial Correlation 275
7.8 Estimating Models with Autoregressive Errors 285
7.9 Specification Testing and Serial Correlation 202
7.10 Models for Panel Data 208
7.11 Final Remarks 305
7.12 Exercises :*oa
8 Instrumental Variables Estimation 311
8.1 Introduction ¿n
8.2 Correlation Between Error Terms and Regressors 312
8.3 Instrumental Variables Estimation 315
8.4 Finite-Sample Properties of IV Estimators 324
Contents
VU
8.5 Hypothesis Testing 330
8.6 Testing Overidentifying Restrictions 336
8.7 Durbin-Wu-Hausman Tests 338
8.8 Bootstrap Tests 342
8.9 IV Estimation of Nonlinear Models 345
8.10 Final Remarks 347
8.11 Exercises 347
9 The Generalized Method of Moments 352
9.1 Introduction 352
9.2 GMM Estimators for Linear Regression Models 353
9.3 HAC Covariance Matrix Estimation 362
9.4 Tests Based on the GMM Criterion Function 365
9.5 GMM Estimators for Nonlinear Models 369
9.6 The Method of Simulated Moments 383
9.7 Final Remarks 393
9.8 Exercises 394
10 The Method of Maximum Likelihood 399
10.1 Introduction 399
10.2 Basic Concepts of Maximum Likelihood Estimation 399
10.3 Asymptotic: Properties of ML Estimators 408
10.4 The Covariance Matrix of the ML Estimator 415
10.5 Hypothesis Testing 420
10.6 The Asymptotic Theory of the Three Classical Tests 429
10.7 ML Estimation of Models with Autoregressive Errors 435
10.8 Transformations of the Dependent Variable 437
10.9 Final Remarks 443
10.10 Exercises 444
11 Discrete and Limited Dependent Variables 451
11.1 Introduction 451
11.2 Binary Response Models: Estimation 452
11.3 Binary Response Models: Inference 460
11.4 Models for More Than Two Discrete Responses 466
11.5 Models for Count Data 475
11.6 Models for Censored and Truncated Data 481
11.7 Sample Selectivity 486
11.8 Duration Models 489
11.9 Final Remarks 495
11.10 Exercises 495
12 Multivariate Models 501
12.1 Introduction 501
12.2 Seemingly Unrelated Linear Regressions 501
12.3 Systems of Nonlinear Regressions 518
Contents
VIII
12.4 Linear Simultaneous Equations Models
12.5 Maximum Likelihood Estimation
12.6 Nonlinear Simultaneous Equations Models
12.7 Final Remarks
12.8 Appendix: Detailed Results on FIML and LI ML
12.9 Exercises
13 Methods for Stationary Time-Series Data
13.1 Introduction
13.2 Autoregressive and Moving-Average Processes
13.3 Estimating AR, MA, and AHMA Models r,h
13.4 Single-Equation Dynamic Models 575
13.5 Seasonality l 1
13.6 Autoregressive Conditional Helen sketlast ieity 5n7
13.7 Vector Autoregressions 5! 5
13.8 Final Remarks 59?)
13.9 Exercises -~ 99
14 Unit Roots and Cointegration 605
14.1 Introduction 605
14.2 Random Walks and Unit Roots 005
14.3 Unit Root Tests 013
14.4 Serial Correlation and Unit Root Tests 620
14.5 Cointegration 024
14.6 Testing for Cointegration 030
14.7 Final Remarks 044
14.8 Exercises G44
15 Testing the Specification of Econometric Models
15.1 Introduction
15.2 Specification Tests Based on Artific ial Regressions
15.3 Nonnested Hypothesis Tests
15.4 Model Selection Based on Information Criteria
15.5 Nonparametrie Estimation
15.6 Final Remarks
15.7 Appendix: Test Regressors in Artificial Regressions
15.8 Exercises
References
Author Index
Subject Index
650
050
051
005
075
077
092
002
095
702
722
726
|
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| id | DE-604.BV036740661 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:47:01Z |
| institution | BVB |
| isbn | 9780195391053 |
| language | English |
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| publishDate | 2009 |
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| publisher | Oxford University Press |
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| spelling | Davidson, Russell Verfasser (DE-588)170393755 aut Econometric theory and methods Russell Davidson, James G. MacKinnon International edition, [adapted version] New York, NY ; Oxford Oxford University Press 2009 xviii, 750 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Auf dem Titelblatt: "Not for sale in the USA or Canada. Content has been changed for the Middle East, Asia, and other markets. Adaption with the authors approvalContent has been changed for the Middle East, Asia, and other markets. Adaption with the author's approval. 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 UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020658130&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Davidson, Russell MacKinnon, James G. Econometric theory and methods Econometrics Theorie (DE-588)4059787-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4059787-8 (DE-588)4132280-0 |
| 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 | Econometrics Theorie (DE-588)4059787-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Econometrics Theorie Ökonometrie |
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