計量経済学の理論と手法 Econometric Theory and Methods

計量経済学の理論と手法<br>Econometric Theory and Methods

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計量経済学の理論と手法
Econometric Theory and Methods

Davidson, Russell/ Mackinnon, James

ウェブストア価格 ¥48,513（本体¥44,103）
Oxford University Press（2003/11発売）
外貨定価 US$ 236.00
ポイント 441pt

オンデマンド(OD/POD)版です。キャンセルは承れません。

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製本 Hardcover:ハードカバー版／ページ数 768 p.
言語 ENG
商品コード 9780195123722
DDC分類 330.015195

基本説明

All of the major topic areas are clearly explained through concepts rather than relying on complex algebra.

Full Description

This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.

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