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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