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Econometrics

  • Textbook
  • © 2002

Overview

Authors:
  1. Badi H. Baltagi

    1. Department of Economics, Texas A&M University, College Station, USA

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  • For students and professionals
  • The background material for solid training in econometrics
  • With empirical examples using standard software
  • Includes supplementary material: sn.pub/extras

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Table of contents (14 chapters)

  1. Front Matter

    Pages I-XV
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  2. Part I

    1. Front Matter

      Pages 1-1
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    2. What is Econometrics?

      • Badi H. Baltagi
      Pages 3-12

    3. Basic Statistical Concepts

      • Badi H. Baltagi
      Pages 13-50

    4. Simple Linear Regression

      • Badi H. Baltagi
      Pages 51-76

    5. Multiple Regression Analysis

      • Badi H. Baltagi
      Pages 77-98

    6. Violations of the Classical Assumptions

      • Badi H. Baltagi
      Pages 99-135

    7. Distributed Lags and Dynamic Models

      • Badi H. Baltagi
      Pages 137-154

  3. Part II

    1. Front Matter

      Pages 155-155
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    2. The General Linear Model: The Basics

      • Badi H. Baltagi
      Pages 157-185

    3. Regression Diagnostics and Specification Tests

      • Badi H. Baltagi
      Pages 187-233

    4. Generalized Least Squares

      • Badi H. Baltagi
      Pages 235-251

    5. Seemingly Unrelated Regressions

      • Badi H. Baltagi
      Pages 253-268

    6. Simultaneous Equations Model

      • Badi H. Baltagi
      Pages 269-305

    7. Pooling Time-Series of Cross-Section Data

      • Badi H. Baltagi
      Pages 307-329

    8. Limited Dependent Variables

      • Badi H. Baltagi
      Pages 331-359

    9. Time-Series Analysis

      • Badi H. Baltagi
      Pages 361-385

  4. Back Matter

    Pages 387-401
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Keywords

About this book

This book is intended for a first year graduate course in econometrics. However, the first six chapters have no matrix algebra and can be used in an advanced undergraduate class. This can be supplemented by some of the material in later chapters that do not require matrix algebra, like the first part of Chapter 11 on simultaneous equations and Chapter 14 on time-series analysis. This book teaches some of the basic econometric methods and the underlying assumptions behind them. Estimation, hypotheses testing and prediction are three recurrent themes in this book. Some uses of econometric methods include (i) empirical testing of economic t- ory, whether it is the permanent income consumption theory or purchasing power parity, (ii) forecasting, whether it is GNP or unemployment in the U.S. economy or future sales in the c- puter industry. (iii) Estimation of price elasticities of demand, or returns to scale in production. More importantly, econometric methods can be used to simulate the effect of policy changes like a tax increase on gasoline consumption, or a ban on advertising on cigarette consumption.

Reviews

From the reviews of the third edition:

"Teaching econometrics is not an easy task. There is always this elusive balance between mathematical rigour and economic intuition … . This textbook … keeps this balance perfectly well, and does a good job at persuasion too. … It teaches mostly by example, appeals a lot to intuition, and provides numerous real world data sets to practice … . It is therefore also well suited for self study and can be recommended … . a most useful text for an econometrics course anywhere." (Walter Krämer, Statistical Papers, Vol. 44 (1), 2003)

"The book is intended for a first year graduate course on econometrics, and the book strikes a balance between a rigorous approach that proves theorems and a completely empirical approach. The exercises contain theoretical problems that should supplement the understanding material in each chapter. … The book covers a wide range of econometric fields and presents many applications with real data sets which enable the reader to understand and to interpret the empirical results of the theoretical approaches." (Herbert S. Buscher, Zentralblatt MATH, Vol. 1007, 2003)

Authors and Affiliations

  • Department of Economics, Texas A&M University, College Station, USA

    Badi H. Baltagi

Bibliographic Information

  • Book Title: Econometrics

  • Authors: Badi H. Baltagi

  • DOI: https://doi.org/10.1007/978-3-662-04693-7

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2002

  • eBook ISBN: 978-3-662-04693-7Published: 11 November 2013

  • Edition Number: 3

  • Number of Pages: XV, 401

  • Topics: Econometrics

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