на главную поиск contacts

Modern econometrics: An introduction

Опубликовано на портале: 12-09-2003
Harlow: Addison-Wesley, 1997, 548 с.
Тематический раздел:
This text, aimed specifically at undergraduate students, will provide the basic background in statistics and matrix algebra giving students the necessary grounding for a proper understanding of econometrics.
  • Emphasises the use of econometric methods by taking the basic techniques and showing how they can be applied to basic data sets.
  • Discusses recently developed econometric techniques.
  • Separate chapters focus on the specification of models, error correction models and cointegration.

  • Introduction
  • Probability distributions
  • Statistical inference
  • Two variable regression Analysis
  • Estimators and methods of estimation
  • The classical two variable regression model
  • Stochastic explanatory variable
  • More about multiple regression
  • Non-spherical disturbances
  • Estimating dynamic models
  • Choosing the appropriate model
  • Handling a non-stationary time series
  • Testing for stationary cointegration and the estimation of ECMs
  • Further Topics

Ключевые слова

См. также:
John Philip Rust
Econometrica. 1987.  Vol. 55. No. 5. P. 999-1033. 
Daniel Ackerberg
International Economic Review. 2003.  Vol. 44. No. 3. P. 1007-1040. 
Adrian Atilio Caldart, Joan Enric Ricart
Manuel Arellano
M. Hashem Pesaran, Yongcheol Shin
Economics Letters. 1998.  Vol. 58. No. 1. P. 17-29.