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Econometric Analysis » (6th Edition)

Book cover image of Econometric Analysis by William H. Greene

Authors: William H. Greene
ISBN-13: 9780135132456, ISBN-10: 0135132452
Format: Hardcover
Publisher: Prentice Hall
Date Published: August 2007
Edition: 6th Edition

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Author Biography: William H. Greene

Book Synopsis

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.

Table of Contents

Preface
Ch. 1Introduction1
Ch. 2The Classical Multiple Linear Regression Model7
Ch. 3Least Squares19
Ch. 4Finite-Sample Properties of the Least Squares Estimator41
Ch. 5Large-Sample Properties of the Least Squares and Instrumental Variables Estimators65
Ch. 6Inference and Prediction93
Ch. 7Functional Form and Structural Change116
Ch. 8Specification Analysis and Model Selection148
Ch. 9Nonlinear Regression Models162
Ch. 10Nonspherical Disturbances - The Generalized Regression Model191
Ch. 11Heteroscedasticity215
Ch. 12Serial Correlation250
Ch. 13Models for Panel Data283
Ch. 14Systems of Regression Equations339
Ch. 15Simultaneous-Equations Models378
Ch. 16Estimation Frameworks in Econometrics425
Ch. 17Maximum Likelihood Estimation468
Ch. 18The Generalized Method of Moments525
Ch. 19Models with Lagged Variables558
Ch. 20Time-Series Models608
Ch. 21Models for Discrete Choice663
Ch. 22Limited Dependent Variable and Duration Models756
App. AMatrix Algebra803
App. BProbability and Distribution Theory845
App. C: Estimation and Inference877
App. DLarge Sample Distribution Theory896
App. E: Computation and Optimization919
App. F: Data Sets Used in Applications946
App. G: Statistical Tables953
References959
Author Index995
Subject Index1002

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