Econometric Analysis
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Econometric Analysisi, 6/e serves as a bridge between an introduction to the field of econometrics and the professional literature for social scientists and other professionals in the field of social sciences, focusing on applied econometrics and theoretical background. This book provides a broad survey of the field of econometrics that allows the reader to move from here to practice in one or more specialized areas. At the same time, the reader will gain an appreciation of the common foundation of all the fields presented and use the tools they employ.This book gives space to a wide range of topics including basic econometrics, Classical, Bayesian, GMM, and Maximum likelihood, and gives special emphasis to new topics such a time series and panels.For social scientists and other professionals in the field who want a thorough introduction to applied econometrics that will prepare them for advanced study and practice in the field.
PrefaceCh. 1Introduction1Ch. 2The Classical Multiple Linear Regression Model7Ch. 3Least Squares19Ch. 4Finite-Sample Properties of the Least Squares Estimator41Ch. 5Large-Sample Properties of the Least Squares and Instrumental Variables Estimators65Ch. 6Inference and Prediction93Ch. 7Functional Form and Structural Change116Ch. 8Specification Analysis and Model Selection148Ch. 9Nonlinear Regression Models162Ch. 10Nonspherical Disturbances - The Generalized Regression Model191Ch. 11Heteroscedasticity215Ch. 12Serial Correlation250Ch. 13Models for Panel Data283Ch. 14Systems of Regression Equations339Ch. 15Simultaneous-Equations Models378Ch. 16Estimation Frameworks in Econometrics425Ch. 17Maximum Likelihood Estimation468Ch. 18The Generalized Method of Moments525Ch. 19Models with Lagged Variables558Ch. 20Time-Series Models608Ch. 21Models for Discrete Choice663Ch. 22Limited Dependent Variable and Duration Models756App. AMatrix Algebra803App. BProbability and Distribution Theory845App. C: Estimation and Inference877App. DLarge Sample Distribution Theory896App. E: Computation and Optimization919App. F: Data Sets Used in Applications946App. G: Statistical Tables953References959Author Index995Subject Index1002
