Introductory Econometrics

1. Front Matter

   Pages i-xvi

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2. The General Linear Model I

   • Phoebus Dhrymes

   Pages 1-36

3. The General Linear Model II

   • Phoebus Dhrymes

   Pages 37-113

4. The General Linear Model III

   • Phoebus Dhrymes

   Pages 115-228

5. The General Linear Model IV

   • Phoebus Dhrymes

   Pages 229-291

6. Misspecification Analysis and Errors in Variables

   • Phoebus Dhrymes

   Pages 293-352

7. Systems of Simultaneous Equations

   • Phoebus Dhrymes

   Pages 353-414

8. Time Series Modeling

   • Phoebus Dhrymes

   Pages 415-476

9. Forecasting: Accuracy and Evaluation

   • Phoebus Dhrymes

   Pages 477-526

10. Discrete Choice Models: Logit and Probit Analysis

    • Phoebus Dhrymes

    Pages 527-559

11. Statistical and Probabilistic Background

    • Phoebus Dhrymes

    Pages 561-611

12. Back Matter

    Pages 613-626

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This book provides a rigorous introduction to the principles of econometrics and gives students and practitioners the tools they need to effectively and accurately analyze real data. Thoroughly updated to address the developments in the field that have occurred since the original publication of this classic text, the second edition has been expanded to include two chapters on time series analysis and one on nonparametric methods. Discussions on covariance (including GMM), partial identification, and empirical likelihood have also been added. The selection of topics and the level of discourse give sufficient variety so that the book can serve as the basis for several types of courses. This book is intended for upper undergraduate and first year graduate courses in economics and statistics and also has applications in mathematics and some social sciences where a reasonable knowledge of matrix algebra and probability theory is common. It is also ideally suited for practicing professionals who want to deepen their understanding of the methods they employ. Also available for the new edition is a solutions manual, containing answers to the end-of-chapter exercises.

• Bayesian
• cointegration
• discrete choice
• econometrics
• linear regression
• nonparametric methods
• time series
• quantitative finance

“The included methods in the book provide a comprehensive coverage of the statistical and mathematical techniques relevant to the econometric environment, worked examples and exercises and an excellent layout of information, learning objectives, test questions and answers which promote the book's effectiveness as a learning tool. … The book is of interest to advanced undergraduates and graduates students in economics and statistics as well as in other sciences …” (Chryssoula Ganatsiou, zbMATH 1394.62001, 2018)

• New York, USA

  Phoebus Dhrymes

Phoebus James Dhrymes was born in Ktima (Cyprus) on October 1, 1932 and died on April 8, 2016 in New York. His surname derives from the place of his ancestry, “Dhrymou” (nowadays spelled “Drimou”), a small village in the Paphos district, only a few miles from Ktima.  

His life journey from the humble beginnings of a village boy to the Edwin W. Rickert Professor of Economics at Columbia University, is an amazing story of diligence and perseverance, sprinkled with seemingly inadvertent decisions, such as his volunteering to be drafted into the US Army in 1952, but always driven by the single-mindedness to succeed, and guided by the most honorable virtues of his Greek heritage: fairness (δικαιοσύνη), temperance (σωφροσύνη), fortitude (ανδρεία) and wisdom (φρόνηση); virtues that fostered an unquenched thirst for knowledge, passion for teaching, and a life-time devotion to his family. 

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