Lectures On Advanced Econometric Theory
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Author | : John Denis Sargan |
Publisher | : Wiley-Blackwell |
Total Pages | : 176 |
Release | : 1988-01-01 |
Genre | : Business & Economics |
ISBN | : 9780631149569 |
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Author | : John Chipman |
Publisher | : Routledge |
Total Pages | : 383 |
Release | : 2013-03-01 |
Genre | : Business & Economics |
ISBN | : 1134340443 |
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When learning econometrics, what better way than to be taught by one of its masters. In this significant new volume, John Chipman, the eminence grise of econometrics, presents his classic lectures in econometric theory. Starting with the linear regression model, least squares, Gauss-Markov theory and the first principals of econometrics, this book guides the introductory student to an advanced stage of ability. The text covers multicollinearity and reduced-rank estimation, the treatment of linear restrictions and minimax estimation. Also included are chapters on the autocorrelation of residuals and simultaneous-equation estimation. By the end of the text, students will have a solid grounding in econometrics. Despite the frequent complexity of the subject matter, Chipman's clear explanations, concise prose and sharp analysis make this book stand out from others in the field. With mathematical rigor sharpened by a lifetime of econometric analysis, this significant volume is sure to become a seminal and indispensable text in this area.
Author | : John Somerset Chipman |
Publisher | : |
Total Pages | : 393 |
Release | : 2011 |
Genre | : Econometrics |
ISBN | : 9780203505076 |
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John S. Chipman, the eminence grise of econometrics, presents his classic lectures in econometric theory in this new volume. --
Author | : Takeshi Amemiya |
Publisher | : Harvard University Press |
Total Pages | : 540 |
Release | : 1985 |
Genre | : Business & Economics |
ISBN | : 9780674005600 |
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The main features of this text are a thorough treatment of cross-section models—including qualitative response models, censored and truncated regression models, and Markov and duration models—and a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.
Author | : Luciano Pieraccini |
Publisher | : |
Total Pages | : 88 |
Release | : 2012 |
Genre | : Business & Economics |
ISBN | : 9788854851962 |
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Author | : Miroslav Verbič |
Publisher | : BoD – Books on Demand |
Total Pages | : 129 |
Release | : 2011-07-27 |
Genre | : Business & Economics |
ISBN | : 9533075031 |
Download Advances in Econometrics Book in PDF, Epub and Kindle
Econometrics is becoming a highly developed and highly mathematicized array of its own sub disciplines, as it should be, as economies are becoming increasingly complex, and scientific economic analyses require progressively thorough knowledge of solid quantitative methods. This book thus provides recent insight on some key issues in econometric theory and applications. The volume first focuses on three recent advances in econometric theory: non-parametric estimation, instrument generating functions, and seasonal volatility models. Additionally, three recent econometric applications are presented: continuous time duration analysis, panel data analysis dealing with endogeneity and selectivity biases, and seemingly unrelated regression analysis. Intended as an electronic edition, providing immediate "open access" to its content, the book is easy to follow and will be of interest to professionals involved in econometrics.
Author | : Arthur Stanley Goldberger |
Publisher | : Harvard University Press |
Total Pages | : 430 |
Release | : 1991 |
Genre | : Business & Economics |
ISBN | : 9780674175440 |
Download A Course in Econometrics Book in PDF, Epub and Kindle
This text prepares first-year graduate students and advanced undergraduates for empirical research in economics, and also equips them for specialization in econometric theory, business, and sociology. A Course in Econometrics is likely to be the text most thoroughly attuned to the needs of your students. Derived from the course taught by Arthur S. Goldberger at the University of Wisconsin-Madison and at Stanford University, it is specifically designed for use over two semesters, offers students the most thorough grounding in introductory statistical inference, and offers a substantial amount of interpretive material. The text brims with insights, strikes a balance between rigor and intuition, and provokes students to form their own critical opinions. A Course in Econometrics thoroughly covers the fundamentals--classical regression and simultaneous equations--and offers clear and logical explorations of asymptotic theory and nonlinear regression. To accommodate students with various levels of preparation, the text opens with a thorough review of statistical concepts and methods, then proceeds to the regression model and its variants. Bold subheadings introduce and highlight key concepts throughout each chapter. Each chapter concludes with a set of exercises specifically designed to reinforce and extend the material covered. Many of the exercises include real microdata analyses, and all are ideally suited to use as homework and test questions.
Author | : James Davidson |
Publisher | : Wiley-Blackwell |
Total Pages | : 528 |
Release | : 2000-04-07 |
Genre | : Business & Economics |
ISBN | : 9780631215844 |
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This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time-dependence and heterogeneity. It is technically self-contained, with all but the most basic mathematical prerequisites being explained in their context.
Author | : Gary Koop |
Publisher | : John Wiley & Sons |
Total Pages | : 389 |
Release | : 2008-03-10 |
Genre | : Business & Economics |
ISBN | : 0470032707 |
Download Introduction to Econometrics Book in PDF, Epub and Kindle
Introduction to Econometrics has been written as a core textbook for a first course in econometrics taken by undergraduate or graduate students. It is intended for students taking a single course in econometrics with a view towards doing practical data work. It will also be highly useful for students interested in understanding the basics of econometric theory with a view towards future study of advanced econometrics. To achieve this end, it has a practical emphasis, showing how a wide variety of models can be used with the types of data sets commonly used by economists. However, it also has enough discussion of the underlying econometric theory to give the student a knowledge of the statistical tools used in advanced econometrics courses. Key Features: * A non-technical summary of the basic tools of econometrics is given in chapters 1 and 2, which allows the reader to quickly start empirical work. * The foundation offered in the first two chapters makes the theoretical econometric material, which begins in chapter 3, more accessible. * Provides a good balance between econometric theory and empirical applications. * Discusses a wide range of models used by applied economists including many variants of the regression model (with extensions for panel data), time series models (including a discussion of unit roots and cointegration) and qualitative choice models (probit and logit). An extensive collection of web-based supplementary materials is provided for this title, including: data sets, problem sheets with worked through answers, empirical projects, sample exercises with answers, and slides for lecturers. URL: www.wileyeurope.com/college/koop
Author | : Fumio Hayashi |
Publisher | : Princeton University Press |
Total Pages | : 708 |
Release | : 2011-12-12 |
Genre | : Business & Economics |
ISBN | : 1400823838 |
Download Econometrics Book in PDF, Epub and Kindle
The most authoritative and comprehensive synthesis of modern econometrics available Econometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified framework for understanding and integrating results. Econometrics covers all the important topics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models, such as probit and tobit, are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient way. Virtually all the chapters include empirical applications drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises provide students with hands-on experience applying the techniques covered. The exposition is rigorous yet accessible, requiring a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For students who intend to write a thesis on applied topics, the empirical applications in Econometrics are an excellent way to learn how to conduct empirical research. For theoretically inclined students, the no-compromise treatment of basic techniques is an ideal preparation for more advanced theory courses.