A Guide to Modern EconometricsJohn Wiley & Sons, 27.05.2008 - 472 Seiten This revised and updated edition of A Guide to Modern Econometrics continues to explore a wide range of topics in modern econometrics by focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical relevance. New material includes Monte Carlo studies, weak instruments, nonstationary panels, count data, duration models and the estimation of treatment effects. Features of this book include: Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments Empirical examples drawn from a wide variety of fields including labour economics, finance, international economics, environmental economics and macroeconomics. End-of-chapter exercises review key concepts in light of empirical examples. |
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Häufige Begriffe und Wortgruppen
alternative appropriate assume assumptions asymptotic autocorrelation autoregressive auxiliary regression B₁ B₂ Chapter Chi-squared distribution coefficients cointegrating cointegrating relationships cointegrating vector computed consider consistent estimator constant correlation corresponds covariance matrix critical values degrees of freedom denotes dependent variable discussed dummy Econometrics economic endogenous error term estimator for ẞ example exogenous explaining explanatory variables F-test first-order conditions fixed effects estimator given heteroskedasticity homoskedastic implies imposed included individual intercept term interpretation lagged least squares likelihood function linear model logit maximum likelihood estimator means moving average normal distribution null hypothesis observations obtain OLS estimator panel data prediction probability probit model problem random effects random effects estimator regressors residuals restrictions sample Section specification standard errors stationary Subsection t-ratio Table test statistic tobit typically uncorrelated unit root unknown parameters unobserved variance Wald test x₁ Y₁ zero