A Guide to Econometrics
This is the perfect (and essential) supplement for all econometrics classes-from a rigorous first undergraduate course, to a first master's, to a PhD course. It explains what is going on in textbooks full of proofs and formulas. Kennedy's A Guide to Econometrics offers intuition, skepticism, insights, humor, and practical advice (do's and don'ts). The 6E contains new chapters on instrumental variables and on computation considerations, more information on GMM and nonparametrics, and an...
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A popular, intuitively based overview of econometrics.
PrefaceDedication1Introduction12Criteria for Estimators113The Classical Linear Regression Model474Interval Estimation and Hypothesis Testing605Specification816Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy1077Violating Assumption Two: Nonzero Expected Disturbance1298Violating Assumption Three: Nonspherical Disturbances1339Violating Assumption Four: Measurement Errors and Autoregression15710Violating Assumption Four: Simultaneous Equations18011Violating Assumption Five: Multicollinearity20512Incorporating Extraneous Information21813The Bayesian Approach23014Dummy Variables24815Qualitative Dependent Variables25916Limited Dependent Variables28117Panel Data30118Time Series Econometrics31919Forecasting35820Robust Estimation37221Applied Economectrics389App. ASampling Distributions, the Foundation of Statistics418App. BAll about Variance423App. CA Primer on Asymptotics429App. DExercises436App. EAnswers to Even-numbered Questions516Glossary544Bibliography550Name Index601Subject Index610
