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Book
xxxix, 1188 p. : ill. ; 24 cm.
  • Part I: The Linear Regression Model Chapter 1: Econometrics Chapter 2: The Linear Regression Model Chapter 3: Least Squares Chapter 4: The Least Squares Estimator Chapter 5: Hypothesis Tests and Model Selection Chapter 6: Functional Form and Structural Change Chapter 7: Nonlinear, Semiparametric, and Nonparametric Regression Models Chapter 8: Endogeneity and Instrumental Variable Estimation Part II: Generalized Regression Model and Equation Systems Chapter 9: The Generalized Regression Model and Heteroscedasticity Chapter 10: Systems of Equations Chapter 11: Models for Panel Data Part III: Estimation Methodology Chapter 12: Estimation Frameworks in Econometrics Chapter 13: Minimum Distance Estimation and the Generalized Method of Moments Chapter 14: Maximum Likelihood Estimation Chapter 15: Simulation-Based Estimation and Inference Chapter 16: Bayesian Estimation and Inference Part IV: Cross Sections, Panel Data, and Microeconometrics Chapter 17: Discrete Choice Chapter 18: Discrete Choices and Event Counts Chapter 19: Limited Dependent Variables--Truncation, Censoring, and Sample Selection Part V: Time Series and Macroeconometrics Chapter 20: Serial Correlation Chapter 21: Models with Lagged Variables Chapter 22: Time-Series Models Chapter 23: Nonstationary Data Part VI: Appendices Appendix A: Matrix Algebra Appendix B: Probability and Distribution Theory Appendix C: Estimation and Inference Appendix D: Large-Sample Distribution Theory Appendix E: Computation and Optimization Appendix F: Data Sets Used in Applications Appendix G: Statistical Tables.
  • (source: Nielsen Book Data)9780131395381 20160606
Econometric Analysis serves as a bridge between an introduction to the field of econometrics and the professional literature for social scientists and other professionals in the field of social sciences, focusing on applied econometrics and theoretical background. This book provides a broad survey of the field of econometrics that allows the reader to move from here to practice in one or more specialized areas. At the same time, the reader will gain an appreciation of the common foundation of all the fields presented and use the tools they employ.
(source: Nielsen Book Data)9780131395381 20160606
Green Library
ECON-271-01, ECON-271-01

2. Econometrics [2000]

Book
xxiii, 683 p. : ill ; 27 cm.
Hayashi's "Econometrics" promises to be the next great synthesis of modern econometrics. It introduces first year PhD students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration. The book is also distinctive in developing both time-series and cross-section analysis fully, giving the reader a unified framework for understanding and integrating results. "Econometrics" has many useful features and covers all the important topics in econometrics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models (such as probit and tobit) are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient manner. Eight of the ten chapters include a serious empirical application drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises at the end of each chapter provide students a hands-on experience applying the techniques covered in the chapter. The exposition is rigorous yet accessible to students who have a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions, so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses.
(source: Nielsen Book Data)9780691010182 20160528
Green Library, Business Library
ECON-271-01, ECON-271-01
Book
xxiv, 951 p. : ill. ; 25 cm.
  • 1. The Least-Squares Linear Fit -- 2. The Geometry of Least Squares -- 3. Partitioned Fit -- 4. Restricted Least Squares -- 5. Overview of Ordinary Least Squares -- 6. Linear Unbiased Estimation -- 7. Variances and Covariances -- 8. Variances and Covariances of Ordinary Least Squares -- 9. Efficient Estimation -- 10. Normal Distribution Theory -- 11. Hypothesis Testing -- 12. Overview of Linear Regression -- 13. Nonnormal Disbribution Theory -- 14. Maximum Likelihood Estimation -- 15. Maximum Likelihood Asymptotic Distribution Theory -- 16. Maximul Likelihood Computation -- 17. Maximum Likelihood Statistical Inference -- 18. Heteroskedasticity -- 19. Serial Correlation -- 20. Instrumental Variables Estimation -- 21. The Generalized Method of Moments -- 22. Generalized Method of Moments Hypothesis Tests -- 23. Overview -- 24. Panel Data Models -- 25. Autoregressive Moving-Average Time Series Models -- 26. Simultaneous Equations -- 27. Discrete Dependent Variables -- 28. Censored and Truncated Variables -- 29. Overview -- APPENDICES -- BIBLIOGRAPHY -- INDEX.
  • (source: Nielsen Book Data)9780195111644 20160609
This book is designed to fill the gap between introductory undergraduate texts and advanced texts for graduate students. Its comprehensive coverage ensures that readers understand both the 'how' and the 'why' of econometrics, as it explains not only the mathematical techniques for econometric problem-solving but also the mathematical foundations of the discipline. Developed with careful pedagogical methodology throughout, the text makes full use of empirical examples and includes appendices providing 'ready reference' and refresher courses on basic mathematics, as well as further material for the more advanced student.
(source: Nielsen Book Data)9780195111644 20160609
Green Library
ECON-271-01, ECON-271-01
Book
xiv, 799 p. : ill ; 26 cm.
  • Preface Difference Equations 2Lag Operators 3Stationary ARMA Processes 4Forecasting 5Maximum Likelihood Estimation 6Spectral Analysis 7Asymptotic Distribution Theory 8Linear Regression Models 9Linear Systems of Simultaneous Equations 10Covariance-Stationary Vector Processes 11Vector Autoregressions 12Bayesian Analysis 13The Kalman Filter 14Generalized Method of Moments 15Models of Nonstationary Time Series 16Processes with Deterministic Time Trends 17Univariate Processes with Unit Roots 18Unit Roots in Multivariate Time Series 19Cointegration 20Full-Information Maximum Likelihood Analysis of Cointegrated Systems 21Time Series Models of Heteroskedasticity 22Modeling Time Series with Changes in Regime A Mathematical Review B Statistical Tables C Answers to Selected Exercises D Greek Letters and Mathematical Symbols Used in the Text Author Index Subject Index.
  • (source: Nielsen Book Data)9780691042893 20160528
The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. "Time Series Analysis" fills an important need for a textbook that integrates economic theory, econometrics, and new results. The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.
(source: Nielsen Book Data)9780691042893 20160528
Green Library, Business Library
ECON-271-01, ECON-271-01
Book
vi, 521 p. ; 25 cm.
Green Library
ECON-271-01, ECON-271-01