Econometric Analysis – William H. Green – 5th Edition


Text for a postgraduate course in Econometrics. This book has two objectives: the first is to introduce the student to applied econometrics, including basic regression analysis techniques and some of the great variety of models that are used when the linear model is insufficient or inadequate. The second is to present students with a sufficient theoretical base who will recognize the new variants of the models learned here simply as natural extensions that conform to a common set of principles.

The fifth edition has a complete update of techniques and developments, a reorganization of the improved presentation materials and new materials and applications.

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  • 1. Introduction.
    2. The Classical Multiple Linear Regression Model.
    3. Least Squares.
    4. Finite Sample Properties of the Least Squares Estimator.
    5. Large Sample Properties of the Least Squares and Instrumental Variables Estimators.
    6. Inference and Prediction.
    7. Functional Form and Structural Change.
    8. Specification Analysis and Model Selection.
    9. Nonlinear Regression Models.
    10. Nonspherical Disturbances—The Generalized Regression Model.
    11. Heteroscedasticity.
    12. Serial Correlation.
    13. Models for Panel Data.
    14. Systems of Regression Equations.
    15. Simultaneous-Equations Models.
    16. Estimation Frameworks in Econometrics.
    17. Maximum Likelihood Estimation.
    18. The Generalized Method of Moments.
    19. Models with Lagged Variables.
    20. Time-Series Models.
    21. Models for Discrete Choice.
    22. Limited Dependent Variable and Duration Models.

    Appendix A: Matrix Algebra.
    Appendix B: Probability and Distribution Theory.
    Appendix C: Estimation and Inference.
    Appendix D: Large Sample Distribution Theory.
    Appendix E: Computation and Optimization.
    Appendix F: Data Sets Used in Applications.
    Appendix G. Statistical Tables.
  • Citation
    • Full Title: Econometric Analysis
    • Author/s:
    • ISBN-10: 0130661899
    • Edition: 5th Edition
    • Topic: Business
    • Subtopic: Econometrics
    • File Type: eBook | Solution Manual
    • Idioma: English

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