ECONOMETRIC THEORY AND METHODS DAVIDSON R., MACKINNON J. Księgarnia

Unified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.

Geometry of Ordinary Least Squares: Introduced in Chapter 2, this method provides students with valuable intuition and allows them to avoid a substantial amount of tedious algebra later in the text.

Modern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).

Inclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as they are needed, rather than isolated in appendices or introductory chapters not linked to the main body of the text.

Advanced Topics: Among these are models for duration and count data, estimating equations, the method of simulated moments, methods for unbalanced panel data, a variety of unit root and cointegration tests, conditional moment tests, nonnested hypothesis tests, kernel density regression, and kernel regression.

Chapter Exercises: Every chapter offers numerous exercises, all of which have been answered by the authors in the Instructor's Manual. Particularly challenging exercises are starred and their solutions are available at the authors' website, providing a way for instructors and interested students to cover advanced material.

"This is the best textbook of econometric theory to have emerged in a long while; and it deserves to find a place on the bookshelf of every instructor. It is bound to find favour with the students." Stephen Pollock, Queen Mary College, University of London

An excellent starting point for graduate-level econometrics, this comprehensive, well-organized and well-written introductory text includes all of the major topic areas of the subject, clearly explained through concepts rather than relying on complex algebra, and carefully pitched at the right level for students who may not already have a strong background in the subject. The text also includes discussion of bootstrap inference in order to aid students in understanding inference based on exact and asymptotic distributions.

Readership: Graduates in econometric courses.

Contents

1. Regression Models

2. The Geometry of Linear Regression

3. The Statistical Properties of Ordinary Least Squares

4. Hypothesis Testing in Linear Regression Models

5. Confidence Intervals

6. Nonlinear Regression

7. Generalised Least Squares and Related Topics

8. Instrumental Variables Estimation

9. The Generalised Method of Moments

10.The Method of Maximum Likelihood

11.Discrete and Limited Dependent Variables

12.Multivariate Models

13.Methods for Stationary Time-Series Data

14.Unit Roots and Cointegration

15.Testing the Specification of Econometric Models

750 pages

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.