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Advanced Econometric Methods /

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This book is intended for a two-semester, graduate-level course and is paced to admit more extensive treatment of areas of specific interest to the instructor and students. It is assumed that the reader of the book will have had an econometric methods course. In the final section of each chapter we...

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Bibliographic Details
Main Author: Fomby, Thomas B.
Corporate Author: SpringerLink (Online service)
Other Authors: Johnson, S. R. (Stanley R.), Hill, R. Carter
Format: eBook
Language:English
Published: New York, NY : Springer New York, 1984.
Subjects:
Economics.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Contents: Introduction
  • Fundamental Methodology: Review of Ordinary Least Squares and Generalized Least Squares. Point Estimation and Tests of Hypotheses in Small Samples. Large Sample Point Estimation and Tests of Hypotheses. Stochastic Regressors. Use of Prior Information. Preliminary Test and Stein-Rule Estimators
  • Violations of Basic Assumptions: Feasible Generalized Least Squares Estimation. Heteroscedasticity. Autocorrelation. Lagged Dependent Variables and Autocorrelation. Unobservable Variables
  • Special Topics: Multicollinearity. Varying Coefficient Models. Models That Combine Time-Series and Cross-Section Data. The Analysis of Models with Qualitative or Censored Dependent Variables. Distributed Lags. Uncertainty in Model Specification and Selection
  • Simultaneous Equations Models: Introduction to Simultaneous Equations Models. Identification. Limited Information Estimation. Full Information Estimation. Reduced Form Estimation and Prediction in Simultaneous Equations Models. Properties of Dynamic Simultaneous Equations Models
  • Frontiers: Special Topics in Simultaneous Equations
  • Appendix: Estimation and Inference in Nonlinear Statistical Models
  • Index.