This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course. Explains what is going on in textbooks full of proofs and formulasOffers intuition, skepticism, insights, humor, and practical advice (dos and don’ts)Contains new chapters that cover instrumental variables and computational considerationsIncludes additional information on GMM, nonparametrics, and an introduction to wavelets
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This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course. It explains what is going on in textbooks full of proofs and formulas. Kennedy's A Guide to Econometrics offers intuition, skepticism, insights, humor, and practical advice (do's and don'ts).
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Preface x Dedication xii 1. Introduction 1 2. Criteria for Estimators 11 3. The Classical Linear Regression Model 40 4. Interval Estimation and Hypothesis Testing 51 5. Specification 71 6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 93 7. Violating Assumption Two: Nonzero Expected Disturbance 109 8. Violating Assumption Three: Nonspherical Disturbances 112 9. Violating Assumption Four: Instrumental Variable Estimation 137 10. Violating Assumption Four: Measurement Errors and Autoregression 157 11. Violating Assumption Four: Simultaneous Equations 171 12. Violating Assumption Five: Multicollinearity 192 13. Incorporating Extraneous Information 203 14. The Bayesian Approach 213 15. Dummy Variables 232 16. Qualitative Dependent Variables 241 17. Limited Dependent Variables 262 18. Panel Data 281 19. Time Series Econometrics 296 20. Forecasting 331 21. Robust Estimation 345 22. Applied Econometrics 361 23. Computational Considerations 385 Appendix A: Sampling Distributions, the Foundation of Statistics 403 Appendix B: All about Variance 407 Appendix C: A Primer on Asymptotics 412 Appendix D: Exercises 417 Appendix E: Answers to Even-numbered Questions 479 Glossary 503 Bibliography 511 Name Index 563 Subject Index 573
Les mer
This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course. It explains what is going on in textbooks full of proofs and formulas. Kennedy’s A Guide to Econometrics offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts). The sixth edition contains new chapters on instrumental variables and on computation considerations, more information on GMM and nonparametrics, and an introduction to wavelets.
Les mer
“The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. It holds a unique position among econometric texts. Highly recommended.” (Choice, November 2008)
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Produktdetaljer

ISBN
9781405182577
Publisert
2008-04-28
Utgave
6. utgave
Utgiver
Vendor
Wiley-Blackwell
Vekt
1179 gr
Høyde
231 mm
Bredde
188 mm
Dybde
33 mm
Aldersnivå
P, 06
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
608

Forfatter

Biographical note

Peter Kennedy is Professor of Economics at Simon Fraser University. In addition to A Guide to Econometrics, he is author of Macroeconomic Essentials: Understanding Economics in the News, 2e (2000), and is Associate Editor of the International Journal of Forecasting, the Journal of Economic Education, and Economics Bulletin.