Econometrics
 Responsibility
 Bruce E. Hansen.
 Publication
 Princeton, New Jersey : Princeton University Press, [2022]
 Copyright notice
 ©2022
 Physical description
 xxxi, 1044 pages : illustrations (black and white) ; 26 cm
Online
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HB139 .H3636 2022  Unknown 
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Description
Creators/Contributors
 Author/Creator
 Hansen, Bruce E., 1962 author.
Contents/Summary
 Bibliography
 Includes bibliographical references and index.
 Contents

 Chapter 1. Introduction
 Part I. Regression. Chapter 2. Conditional expectation and projection
 Chapter 3. The algebra of least squares
 Chapter 4. Least squares regression
 Chapter 5. Normal regression
 Part II. Large Sample Methods. Chapter 6. A review of large sample asymptotics
 Chapter 7. Asymptotic theory for least squares
 Chapter 8. Restricted estimation
 Chapter 9. Hypothesis testing
 Chapter 10. Resampling methods
 Part III. Multiple Equation Models. Chapter 11. Multivariate regression
 Chapter 12. Instrumental variables
 Chapter 13. Generalized method of moments
 Part IV. Dependent and Panel Data. Chapter 14. Time series
 Chapter 15. Multivariate time series
 Chapter 16. Nonstationary time series
 Chapter 17. Panel data
 Chapter 18. Difference in differences
 Part V. Nonparametric Methods. Chapter 19. Nonparametric regression
 Chapter 20. Series regression
 Chapter 21. Regression discontinuity
 Part VI. Nonlinear Methods. Chapter 22. MEstimators
 Chapter 23. Nonlinear least squares
 Chapter 24. Quantile regression
 Chapter 25. Binary choice
 Chapter 26. Multiple choice
 Chapter 27. Censoring and selection
 Chapter 28. Model selection, Stein shrinkage, and model averaging
 Chapter 29. Machine learning
 Appendixes. Appendix A. Matrix algebra
 Appendix B. Useful inequalities.
 Summary

"An introductory PhDlevel textbook for one of the first and most foundational courses every economics graduate student must take" Provided by publisher.
 Summary

"Econometrics is the quantitative language of economic theory, analysis, and empirical work, and it has become a cornerstone of graduate economics programs. 'Econometrics' provides graduate and PhD students with an essential introduction to this foundational subject in economics and serves as an invaluable reference for researchers and practitioners. This comprehensive textbook teaches fundamental concepts, emphasizes modern, realworld applications, and gives students an intuitive understanding of econometrics. Covers the full breadth of econometric theory and methods with mathematical rigor while emphasizing intuitive explanations that are accessible to students of all backgrounds ; draws on integrated, researchlevel datasets, provided on an accompanying website ; discusses linear econometrics, time series, panel data, nonparametric methods, nonlinear econometric models, and modern machine learning ; features hundreds of exercises that enable students to learn by doing ; includes indepth appendices on matrix algebra and useful inequalities and a wealth of realworld examples ; can serve as a core textbook for a firstyear PhD course in econometrics and as a followup to Bruce E. Hansen’s 'Probability and Statistics for Economists'.taken from back cover.
 Summary
 "This textbook is the second in a twopart series covering the core material typically taught in a oneyear Ph.D. course in econometrics. The sequence is : 1. 'Probability and Statistics for Economists' (first volume) ; 2. 'Econometrics' (this volume). 'Econometrics' assumes that students have a background in multivariate calculus, probability theory, linear algebra, and mathematical statistics. A prior course in undergraduate econometrics would be helpful but is not required. The relevant background in probability theory and mathematical statistics is provided in 'Probability and Statistics for Economists'. For reference, the basic tools of matrix algebra and probability inequalites are reviewed in Appendixes A and B. This textbook contains more material than can be covered in a onesemester course. This is intended to provide instructors flexibility concerning which topics to cover, which to cover in depth, and which to cover briefly. Some material is suitable for secondyear Ph.D. instruction."adapted from Preface, page xxv.
Subjects
 Subjects
 Econometrics.
 Économétrie.
 Econometrics
 Genre
 Textbooks.
Bibliographic information
 Publication date
 2022
 Copyright date
 2022
 ISBN
 9780691235899 (hardcover)
 0691235899
 9780691236155 (ebook)