Authors: William H. Greene
ISBN-13: 9780135132456, ISBN-10: 0135132452
Format: Hardcover
Publisher: Prentice Hall
Date Published: August 2007
Edition: 6th Edition
Econometric Analysisi, 6/e serves as a bridge between an introduction to the field of econometrics and the professional literature for social scientists and other professionals in the field of social sciences, focusing on applied econometrics and theoretical background. This book provides a broad survey of the field of econometrics that allows the reader to move from here to practice in one or more specialized areas. At the same time, the reader will gain an appreciation of the common foundation of all the fields presented and use the tools they employ.
This book gives space to a wide range of topics including basic econometrics, Classical, Bayesian, GMM, and Maximum likelihood, and gives special emphasis to new topics such a time series and panels.
For social scientists and other professionals in the field who want a thorough introduction to applied econometrics that will prepare them for advanced study and practice in the field.
Preface | ||
Ch. 1 | Introduction | 1 |
Ch. 2 | The Classical Multiple Linear Regression Model | 7 |
Ch. 3 | Least Squares | 19 |
Ch. 4 | Finite-Sample Properties of the Least Squares Estimator | 41 |
Ch. 5 | Large-Sample Properties of the Least Squares and Instrumental Variables Estimators | 65 |
Ch. 6 | Inference and Prediction | 93 |
Ch. 7 | Functional Form and Structural Change | 116 |
Ch. 8 | Specification Analysis and Model Selection | 148 |
Ch. 9 | Nonlinear Regression Models | 162 |
Ch. 10 | Nonspherical Disturbances - The Generalized Regression Model | 191 |
Ch. 11 | Heteroscedasticity | 215 |
Ch. 12 | Serial Correlation | 250 |
Ch. 13 | Models for Panel Data | 283 |
Ch. 14 | Systems of Regression Equations | 339 |
Ch. 15 | Simultaneous-Equations Models | 378 |
Ch. 16 | Estimation Frameworks in Econometrics | 425 |
Ch. 17 | Maximum Likelihood Estimation | 468 |
Ch. 18 | The Generalized Method of Moments | 525 |
Ch. 19 | Models with Lagged Variables | 558 |
Ch. 20 | Time-Series Models | 608 |
Ch. 21 | Models for Discrete Choice | 663 |
Ch. 22 | Limited Dependent Variable and Duration Models | 756 |
App. A | Matrix Algebra | 803 |
App. B | Probability and Distribution Theory | 845 |
App. C: Estimation and Inference | 877 | |
App. D | Large Sample Distribution Theory | 896 |
App. E: Computation and Optimization | 919 | |
App. F: Data Sets Used in Applications | 946 | |
App. G: Statistical Tables | 953 | |
References | 959 | |
Author Index | 995 | |
Subject Index | 1002 |