A guide to modern econometrics Marno Verbeek
Publisher: Chichester, England ; J. Wiley, c2004.
ISBN: 0470857730
DDC: 330.015195
Edition: (pbk. : alk. paper)
Summary:
"This revised and updated edition of A Guide to Modern Econometrics
continues to explore a wide range of topics in modern econometrics by
focusing on what is important for doing and understanding empirical
work. It serves as a guide to alternative techniques with the
emphasis on the intuition behind the approaches and their practical
relevance." "New material includes Monte Carlo studies, weak
instruments, nonstationary panels, count data, duration models and
the estimation of treatment effects."--BOOK JACKET.
Notes:
Includes bibliographical references and index.
1. Introduction -- 2. An introduction to linear regression -- 3.
Interpreting and comparing regression models -- 4. Heteroskedasticity
and autocorrelation -- 5. Endogeneity, instrumental variables and GMM
-- 6. Maximum likelihood estimation and specification tests -- 7.
Models with limited dependent variables -- 8. Univariate time series
models -- 9. Multivariate time series models -- 10. Models based on
panel data -- A. Vectors and matrices -- B. Statistical and
distribution theory.
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