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Guide to econometrics / Peter Kennedy
Books/Textual Material | Blackwell Pub. | 2003. | 5th ed.
Available at Gumberg 3rd Floor (HB139 .K45 2003)
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Gumberg 3rd Floor HB139 .K45 2003 AVAILABLE
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Imprint
Malden, MA : Blackwell Pub., 2003.
Descript
xiii, 623 p. : ill. ; 23 cm.
Contents
What is econometrics? -- The disturbance term -- Estimates and estimators -- Good and preferred estimators -- General notes -- Technical notes -- Criteria for estimators -- Introduction -- Computational cost -- Least squares -- Highest r2 -- Unbiasedness -- Efficiency -- Mean square error (mse) -- Asymptotic properties -- Maximum likelihood -- Monte Carlo studies -- Adding up -- General notes -- The classical linear regression model -- Textbooks as catalogs -- The five assumptions -- The ols estimator in the clr model -- General notes -- Technical notes -- Interval estimation and hypothesis testing -- Introduction -- Testing a single hypothesis: the t test -- Testing a joint hypothesis: the f test -- Interval estimation for a parameter vector -- Lr, w, and lm statistics -- Bootstrapping -- General notes -- Technical notes -- 5 specification -- Introduction -- Three methodologies -- General principles for specification -- Misspecification tests/diagnostics -- R2 again -- General notes -- Technical notes -- Violating assumption one: wrong regressors -- Nonlinearities, and parameter inconstancy -- Introduction -- Incorrect set of independent variables -- Nonlinearity -- Changing parameter values -- General notes -- Technical notes -- Violating assumption two: nonzero expected -- Disturbance -- General notes -- Violating assumption three: nonspherical disturbances -- Introduction -- Consequences of violation -- Heteroskedasticity -- Autocorrelated disturbances -- General notes -- Technical notes -- Violating assumption four: measurement errors and autoregression -- Introduction -- Instrumental variable estimation -- Errors in variables -- Autoregression -- General notes -- Technical notes -- Violating assumption four: simultaneous equations -- Introduction -- Identification -- Single-equation methods -- Systems methods -- General notes -- Technical notes -- Violating assumption five: multicollinearity -- Introduction -- Consequences -- Detecting multicollinearity -- What to do -- General notes -- Technical notes -- Incorporating extraneous information -- Introduction -- Exact restrictions -- Stochastic restrictions -- Pre-test estimators -- Extraneous information and mse -- General notes -- Technical notes -- The bayesian approach -- Introduction -- What is a bayesian analysis? -- Advantages of the bayesian approach -- Overcoming practitioners' complaints -- General notes -- Technical notes -- Dummy variables -- Introduction -- Interpretation -- Adding another qualitative variable -- Interacting with quantitative variables -- Observation-specific dummies -- General notes -- Technical notes -- Qualitative dependent variables -- Dichotomous dependent variables -- Polychotomous dependent variables -- Ordered logit/probit -- Count data -- General notes.
Subject
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Econometrics
ISBN
1405115017 (hardcover : alk. paper)
1405115025 (pbk. : alk. paper)
MARC
OCoLC
20040308142936.0
021226s2003 mau 000 0 eng cam8a
DLC DLC OCLCQ DUQ
pcc
DUQQ 1 2
HB139 .K45 2003
330/.01/5195 21
X0 DUQ
Gulf Foundation Business and Economics Collection
Extras
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