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The background material for solid training in econometrics
With empirical examples using standard software
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.
Content Level »Graduate
Keywords »Microeconometrics - econometrics - panel data - regression - regression analysis - time series - time series analysis
I.- 1 What is Econometrics?.- 2 Basic Statistical Concepts.- 3 Simple Linear Regression.- 4 Multiple Regression Analysis.- 5 Violations of the Classical Assumptions.- 6 Distributed Lags and Dynamic Models.- II.- 7 The General Linear Model: The Basics.- 8 Regression Diagnostics and Specification Tests.- 9 Generalized Least Squares.- 10 Seemingly Unrelated Regressions.- 11 Simultaneous Equations Model.- 12 Pooling Time-Series of Cross-Section Data.- 13 Limited Dependent Variables.- 14 Time-Series Analysis.- List of Figures.- List of Tables.