A Guide To Modern Econometrics
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- A Guide to Modern Econometrics
- Contents
- Preface
- 1 Introduction
- 2 An Introduction to Linear Regression
- 2.1 Ordinary Least Squares as an Algebraic Tool
- 2.2 The Linear Regression Model
- 2.3 Small Sample Properties of the OLS Estimator
- 2.4 Goodness-of-fit
- 2.5 Hypothesis Testing
- 2.6 Asymptotic Properties of the OLS Estimator
- 2.7 Illustration: The Capital Asset Pricing Model
- 2.8 Multicollinearity
- 2.9 Prediction
- Exercises
- 3 Interpreting and Comparing Regression Models
- 4 Heteroskedasticity and Autocorrelation
- 4.1 Consequences for the OLS Estimator
- 4.2 Deriving an Alternative Estimator
- 4.3 Heteroskedasticity
- 4.4 Testing for Heteroskedasticity
- 4.5 Illustration: Explaining Labour Demand
- 4.6 Autocorrelation
- 4.7 Testing for First Order Autocorrelation
- 4.8 Illustration: The Demand for Ice Cream
- 4.9 Alternative Autocorrelation Patterns
- 4.10 What to do When you Find Autocorrelation?
- 4.11 Illustration: Risk Premia in Foreign Exchange Markets
- Exercises
- 5 Endogeneity, Instrumental Variables and GMM
- 5.1 A Review of the Properties of the OLS Estimator
- 5.2 Cases Where the OLS Estimator Cannot be Saved
- 5.3 The Instrumental Variables Estimator
- 5.4 Illustration: Estimating the Returns to Schooling
- 5.5 The Generalized Instrumental Variables Estimator
- 5.6 The Generalized Method of Moments
- 5.7 Illustration: Estimating Intertemporal Asset Pricing Models
- 5.8 Concluding Remarks
- Exercises
- 6 Maximum Likelihood Estimation and Specification Tests
- 7 Models with Limited Dependent Variables
- 7.1 Binary Choice Models
- 7.1.1 Using Linear Regression?
- 7.1.2 Introducing Binary Choice Models
- 7.1.3 An Underlying Latent Model
- 7.1.4 Estimation
- 7.1.5 Goodness-of-fit
- 7.1.6 Illustration: the Impact of Unemployment Benefits on Recipiency
- 7.1.7 Specification Tests in Binary Choice Models
- 7.1.8 Relaxing Some Assumptions in Binary Choice Models
- 7.2 Multi-response Models
- 7.3 Models for Count Data
- 7.4 Tobit Models
- 7.5 Extensions of Tobit Models
- 7.6 Sample Selection Bias
- 7.7 Estimating Treatment Effects
- 7.8 Duration Models
- Exercises
- 7.1 Binary Choice Models
- 8 Univariate Time Series Models
- 8.1 Introduction
- 8.2 General ARMA Processes
- 8.3 Stationarity and Unit Roots
- 8.4 Testing for Unit Roots
- 8.5 Illustration: Long-run Purchasing Power Parity (Part 1)
- 8.6 Estimation of ARMA Models
- 8.7 Choosing a Model
- 8.8 Predicting with ARMA Models
- 8.9 Illustration: The Expectations Theory of the Term Structure
- 8.10 Autoregressive Conditional Heteroskedasticity
- 8.11 What about Multivariate Models?
- Exercises
- 9 Multivariate Time Series Models
- 10 Models Based on Panel Data
- 10.1 Advantages of Panel Data
- 10.2 The Static Linear Model
- 10.3 Illustration: Explaining Individual Wages
- 10.4 Dynamic Linear Models
- 10.5 Illustration: Wage Elasticities of Labour Demand
- 10.6 Nonstationarity, Unit Roots and Cointegration
- 10.7 Models with Limited Dependent Variables
- 10.8 Incomplete Panels and Selection Bias
- Exercises
- A Vectors and Matrices
- B Statistical and Distribution Theory
- Bibliography
- Index