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Econometric Theory and Methods

作者：Russell Davidson, James G. Mackinnon
原價：NT$ 1,200

ISBN：9780195391053
版次：1
年份：2004
出版商：Oxford University
頁數/規格：750頁/平裝單色

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內容介紹本書特色目錄作者介紹

Description
Econometric Theory and Methods 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.

Features

Unified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.

Geometry of Ordinary Least Squares: Introduced in Chapter 2, this method provides students with valuable intuition and allows them to avoid a substantial amount of tedious algebra later in the text.

Modern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).

Inclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as they are needed, rather than isolated in appendices or introductory chapters not linked to the main body of the text.

Advanced Topics: Among these are models for duration and count data, estimating equations, the method of simulated moments, methods for unbalanced panel data, a variety of unit root and cointegration tests, conditional moment tests, nonnested hypothesis tests, kernel density regression, and kernel regression.

Chapter Exercises: Every chapter offers numerous exercises, all of which have been answered by the authors in the Instructor's Manual. Particularly challenging exercises are starred and their solutions are available at the authors' website, providing a way for instructors and interested students to cover advanced material.

Table of Contents
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. Generalized Least Squares and Related Topics
8. Instrumental Variables Estimation
9. The Generalized Methods 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 Methods

Russell Davidson holds the Canada Research Chair in Econometrics at McGill University in Montreal. He also teaches at GREQAM in Marseille and previously taught for many years at Queen's University. He has a Ph.D. in Physics from the University of Glasgow and a Ph.D. in Economics from the University of British Columbia. Professor Davidson is a Fellow of the Econometric Society and the author of many scientific papers. He is the coauthor of Estimation and Inference in Econometrics (OUP, 1993).

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