Econometrics

1. Front Matter

   Pages I-XIV

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2. Part I

   1. What is Econometrics?

      • Badi H. Baltagi

      Pages 1-6

   2. A Review of Some Basic Statistical Concepts

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      Pages 7-40

   3. Simple Linear Regression

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      Pages 41-69

   4. Multiple Regression Analysis

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      Pages 70-96

   5. Violations of the Classical Assumptions

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      Pages 97-132

   6. Distributed Lags and Dynamic Models

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      Pages 133-153

3. Part II

   1. The General Linear Model: The Basics

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      Pages 154-188

   2. Regression Diagnostics and Specification Tests

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      Pages 189-236

   3. Generalized Least Squares

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      Pages 237-251

   4. Seemingly Unrelated Regressions

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      Pages 252-267

   5. Simultaneous Equations Model

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      Pages 268-306

   6. Pooling Time-Series of Cross-Section Data

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      Pages 307-330

   7. Limited Dependent Variables

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      Pages 331-362

   8. Time-Series Analysis

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      Pages 363-386

4. Back Matter

   Pages 387-398

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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 lIon 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 theory, 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 computer 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. It is left to the reader to choose among the available econometric software to use, like TSP, SHAZAM, PcGive, HUMMER, LIMDEP, SAS, STATA, GAUSS and EViews. The empirical illustrations in the book utilize a variety of these software packages. Of course, these packages have different advantages and disadvantages.

• cointegration
• econometrics
• integration
• panel data
• regression
• regression analysis
• statistics
• time series

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

  Badi H. Baltagi

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