Econometric Theory and Methods

AvRussell Davidson,James Mackinnon

Inbunden, Engelska, 2003

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Häftad

4 487 kr

Beskrivning

This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.

Produktinformation

Utgivningsdatum:2003-11-20
Mått:161 x 247 x 39 mm
Vikt:1 220 g
Format:Inbunden
Språk:Engelska
Antal sidor:768
Förlag:OUP OXFORD
ISBN:9780195123722

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap

Mer om författaren

RUSSELL DAVIDSON holds the Canada Research Chair in Econometrics at McGill University in Montreal. He also teaches at GREQAM in Marseille and previously taught for many years at Queen's University. He has a Ph.D. in Physics from the University of Glasgow and a Ph.D. in Economics from the University of British Columbia. Professor Davidson is a Fellow of the Econometric Society and the author of many scientific papers. He is the coauthor of Estimation andInference in Econometrics (OUP, 1993).JAMES G. MACKINNON is the Sir Edward Peacock Professor of Econometrics and Head of the Department at Queen's University in Kingston, Ontario, Canada, where he has taught since obtaining his Ph.D. from Princeton University in 1975. He is a Fellow of the Econometric Society and of the Royal Society of Canada and a past President of the Canadian Economics Association (2001-2002). Professor MacKinnon has written more than seventy journal articles and book chapters, and he is the coauthor ofEstimation and Inference in Econometrics (OUP, 1993).

Recensioner i media

"This is the best textbook of econometric theory to have emerged in a long while; and it deserves to find a place on the bookshelf of every instructor. It is bound to find favour with the students." Stephen Pollock, Queen Mary College, University of London

Innehållsförteckning

1. REGRESSION MODELS; 2. THE GEOMETRY OF LINEAR REGRESSION; 3. THE STATISTICAL PROPERTIES OF ORDINARY LEAST SQUARES; 4. HYPOTHESIS TESTING IN LINEAR REGRESSION MODELS; 5. CONFIDENCE INTERVALS; 6. NONLINEAR REGRESSION; 7. GENERALISED LEAST SQUARES AND RELATED TOPICS; 8. INSTRUMENTAL VARIABLES ESTIMATION; 9. THE GENERALISED METHOD OF MOMENTS; 10.THE METHOD OF MAXIMUM LIKELIHOOD; 11.DISCRETE AND LIMITED DEPENDENT VARIABLES; 12.MULTIVARIATE MODELS; 13.METHODS FOR STATIONARY TIME-SERIES DATA; 14.UNIT ROOTS AND COINTEGRATION; 15.TESTING THE SPECIFICATION OF ECONOMETRIC MODELS