1. Econometric analysis [2012]
- 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
(source: Nielsen Book Data)9780131395381 20160606
- 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
(source: Nielsen Book Data)9780131395381 20160606
Green Library
Green Library | Status |
---|---|
Find it On reserve: Ask at circulation desk | |
HB139 .G74 2012 | Unknown 3-hour loan |
Find it Velma Denning Room (Social Science Data and Software) | |
HB139 .G74 2012 | In-library use |
ECON-271-01, ECON-271-01
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- Hong, Han
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- MaCurdy, Thomas E
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
(source: Nielsen Book Data)9780691010182 20160528
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
(source: Nielsen Book Data)9780691010182 20160528
Green Library, Business Library
Green Library | Status |
---|---|
Find it On reserve: Ask at circulation desk | |
HB139 .H39 2000 | Unknown 3-hour loan |
Business Library | Status |
---|---|
Stacks | |
HB139 .H39 2000 | Unknown |
ECON-271-01, ECON-271-01
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- Hong, Han
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- MaCurdy, Thomas E
- 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
(source: Nielsen Book Data)9780195111644 20160609
- 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
(source: Nielsen Book Data)9780195111644 20160609
Green Library
Green Library | Status |
---|---|
Find it On reserve: Ask at circulation desk | |
HB139 .R88 2000 | Unknown 3-hour loan |
ECON-271-01, ECON-271-01
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- Hong, Han
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- MaCurdy, Thomas E
4. Time series analysis [1994]
- 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
(source: Nielsen Book Data)9780691042893 20160528
- 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
(source: Nielsen Book Data)9780691042893 20160528
Green Library, Business Library
Green Library | Status |
---|---|
Find it On reserve: Ask at circulation desk | |
QA280 .H264 1994 | Unknown 3-hour loan |
Business Library | Status |
---|---|
Stacks | |
QA280 .H264 1994 | Unknown |
ECON-271-01, ECON-271-01
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- Hong, Han
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- MaCurdy, Thomas E
5. Advanced econometrics [1985]
- Book
- vi, 521 p. ; 25 cm.
Green Library
Green Library | Status |
---|---|
Find it On reserve: Ask at circulation desk | |
HB139 .A29 1985B | Unknown 3-hour loan |
ECON-271-01, ECON-271-01
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- Hong, Han
- Course
- ECON-271-01 -- Intermediate Econometrics II
- Instructor(s)
- MaCurdy, Thomas E