Advanced Econometric Methods

1. Front Matter

   Pages i-xix

   PDF

2. Introduction

   1. Introduction

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 1-4

3. Fundamental Methodology

   1. Front Matter

      Pages 5-5

      PDF

   2. Review of Ordinary Least Squares and Generalized Least Squares

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 7-25

   3. Point Estimation and Tests of Hypotheses in Small Samples

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 26-51

   4. Large Sample Point Estimation and Tests of Hypotheses

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 52-69

   5. Stochastic Regressors

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 70-79

   6. Use of Prior Information

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 80-121

   7. Preliminary Test and Stein-Rule Estimators

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 122-144

4. Violations of Basic Assumptions

   1. Front Matter

      Pages 145-145

      PDF

   2. Feasible Generalized Least Squares Estimation

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 147-169

   3. Heteroscedasticity

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 170-204

   4. Autocorrelation

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 205-236

   5. Lagged Dependent Variables and Autocorrelation

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 237-267

   6. Unobservable Variables

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 268-280

5. Special Topics

   1. Front Matter

      Pages 281-281

      PDF

   2. Multicollinearity

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 283-306

   3. Varying Coefficient Models

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 307-323

   4. Models That Combine Time-Series and Cross-Section Data

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 324-338

   5. The Analysis of Models with Qualitative or Censored Dependent Variables

      • Thomas B. Fomby, Stanley R. Johnson, R. Carter Hill

      Pages 339-370

This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.

• development
• econometrics
• information
• linear optimization
• nonlinear optimization
• optimization
• regression
• software
• statistical models
• value-at-risk

• Department of Economics, Southern Methodist University, Dallas, USA

  Thomas B. Fomby

• The Center for Agricultural and Rural Development, Iowa State University, Ames, USA

  Stanley R. Johnson

• Department of Economics, Louisiana State University, Baton Rouge, USA

  R. Carter Hill

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