Estimation and Inference in Econometrics

Russell Davidson/ James G. MacKinnon

ISBN 10: 0195060113 / ISBN 13: 9780195060119

Verlag: Oxford Univ Pr, 1993

1st edition. 896 pages. 9.50x6.00x2.00 inches. In Stock. Bestandsnummer des Verkäufers 0195060113

Inhaltsangabe:

Offering students a unifying theoretical perspective, this innovative text emphasizes nonlinear techniques of estimation, including nonlinear least squares, nonlinear instrumental variables, maximum likelihood and the generalized method of moments, but nevertheless relies heavily on simple geometrical arguments to develop intuition. One theme of the book is the use of artificial regressions for estimation, inference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, series correlation, heteroskedasticity and other types of misspecification. Other topics include the linear simultaneous equations model, non-nested hypothesis tests, influential observations and leverage, transformations of the dependent variable, binary response models, models for time-series/cross-section data, multivariate models, seasonality, unit roots and cointegration, and Monte Carlo methods, always with an emphasis on problems that arise in applied work. Explaining throughout how estimates can be obtained and tests can be carried out, the text goes beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. A comprehensive and coherent guide to the most vital topics in econometrics today, this text is indispensable for all levels of students of econometrics, economics, and statistics on regression and related topics.

Über die Autorin bzw. den Autor: Russell Davidson was born in Johnstone, Scotland, and studied at the University of Glasgow, where he gained a PhD. in Physics in 1966. He was a Faculty Associate at the University of Texas, Austin from 1967-70. He turned to economics in the early 1970s and took a PhD. in economics at the University of British Columbia in 1977 and was a Post-doctoral Fellow there from 1972-3. He was Assistant Professor at Queen's University, Canada, from 1977-82 and Associate Professor there from 1982-5.

James MacKinnon studied at York University, Toronto, and Princeton University. He was Assistant Professor at Queen's University, Canada, from 1975-8 and Associate Professor from 1982-91. He has been a Fellow of the Econometric Society since 1990.

Bibliografische Details

Titel: Estimation and Inference in Econometrics
Verlag: Oxford Univ Pr
Erscheinungsdatum: 1993
Einband: Hardcover
Zustand: Brand New