Efnisyfirlit

• Cover
• Title Page
• Preface
• 1 Introduction
  • 1.1 About Econometrics
  • 1.2 The Structure of This Book
  • 1.3 Illustrations and Exercises
• 2 An Introduction to Linear Regression
  • 2.1 Ordinary Least Squares as an Algebraic Tool
  • 2.2 The Linear Regression Model
  • 2.3 Small Sample Properties of the OLS Estimator
  • 2.4 Goodness-of-Fit
  • 2.5 Hypothesis Testing
  • 2.6 Asymptotic Properties of the OLS Estimator
  • 2.7 Illustration: The Capital Asset Pricing Model
  • 2.8 Multicollinearity
  • 2.9 Missing Data, Outliers and Influential Observations
  • 2.10 Prediction
• 3 Interpreting and Comparing Regression Models
  • 3.1 Interpreting the Linear Model
  • 3.2 Selecting the Set of Regressors
  • 3.3 Misspecifying the Functional Form
  • 3.4 Illustration: Explaining House Prices
  • 3.5 Illustration: Predicting Stock Index Returns
  • 3.6 Illustration: Explaining Individual Wages
• 4 Heteroskedasticity and Autocorrelation
  • 4.1 Consequences for the OLS Estimator
  • 4.2 Deriving an Alternative Estimator
  • 4.3 Heteroskedasticity
  • 4.4 Testing for Heteroskedasticity
  • 4.5 Illustration: Explaining Labour Demand
  • 4.6 Autocorrelation
  • 4.7 Testing for First‐order Autocorrelation
  • 4.8 Illustration: The Demand for Ice Cream
  • 4.9 Alternative Autocorrelation Patterns
  • 4.10 What to Do When You Find Autocorrelation?
  • 4.11 Illustration: Risk Premia in Foreign Exchange Markets
• 5 Endogenous Regressors, Instrumental Variables and GMM
  • 5.1 A Review of the Properties of the OLS Estimator
  • 5.2 Cases Where the OLS Estimator Cannot Be Saved
  • 5.3 The Instrumental Variables Estimator
  • 5.4 Illustration: Estimating the Returns to Schooling
  • 5.5 Alternative Approaches to Estimate Causal Effects
  • 5.6 The Generalized Instrumental Variables Estimator
  • 5.7 Institutions and Economic Development
  • 5.8 The Generalized Method of Moments
  • 5.9 Illustration: Estimating Intertemporal Asset Pricing Models
• 6 Maximum Likelihood Estimation and Specification Tests
  • 6.1 An Introduction to Maximum Likelihood
  • 6.2 Specification Tests
  • 6.3 Tests in the Normal Linear Regression Model
  • 6.4 Quasi-maximum Likelihood and Moment Conditions Tests
• 7 Models with Limited Dependent Variables
  • 7.1 Binary Choice Models
  • 7.2 Multiresponse Models
  • 7.3 Models for Count Data
  • 7.4 Tobit Models
  • 7.5 Extensions of Tobit Models
  • 7.6 Sample Selection Bias
  • 7.7 Estimating Treatment Effects
  • 7.8 Duration Models
• 8 Univariate Time Series Models
  • 8.1 Introduction
  • 8.2 General ARMA Processes
  • 8.3 Stationarity and Unit Roots
  • 8.4 Testing for Unit Roots
  • 8.5 Illustration: Long‐run Purchasing Power Parity (Part 1)
  • 8.6 Estimation of ARMA Models
  • 8.7 Choosing a Model
  • 8.8 Illustration: The Persistence of Inflation
  • 8.9 Forecasting with ARMA Models
  • 8.10 Illustration: The Expectations Theory of the Term Structure
  • 8.11 Autoregressive Conditional Heteroskedasticity
  • 8.12 What about Multivariate Models?
• 9 Multivariate Time Series Models
  • 9.1 Dynamic Models with Stationary Variables
  • 9.2 Models with Nonstationary Variables
  • 9.3 Illustration: Long‐run Purchasing Power Parity (Part 2)
  • 9.4 Vector Autoregressive Models
  • 9.5 Cointegration: the Multivariate Case
  • 9.6 Illustration: Money Demand and Inflation
• 10 Models Based on Panel Data
  • 10.1 Introduction to Panel Data Modelling
  • 10.2 The Static Linear Model
  • 10.3 Illustration: Explaining Individual Wages
  • 10.4 Dynamic Linear Models
  • 10.5 Illustration: Explaining Capital Structure
  • 10.6 Panel Time Series
  • 10.7 Models with Limited Dependent Variables
  • 10.8 Incomplete Panels and Selection Bias
  • 10.9 Pseudo Panels and Repeated Cross‐sections
• A Vectors and Matrices
  • A.1 Terminology
  • A.2 Matrix Manipulations
  • A.3 Properties of Matrices and Vectors
  • A.4 Inverse Matrices
  • A.5 Idempotent Matrices
  • A.6 Eigenvalues and Eigenvectors
  • A.7 Differentiation
  • A.8 Some Least Squares Manipulations
• B Statistical and Distribution Theory
  • B.1 Discrete Random Variables
  • B.2 Continuous Random Variables
  • B.3 Expectations and Moments
  • B.4 Multivariate Distributions
  • B.5 Conditional Distributions
  • B.6 The Normal Distribution
  • B.7 Related Distributions
• Bibliography
• Index
• End User License Agreement

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