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Introduction to Econometrics 2/e (絕)

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ISBN：9780321442536
作者：James H. Stock, Mark W. Watson
版次：2
年份：2007
出版商：Pearson Education
頁數/規格：796頁

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書籍介紹目錄

Features

Real-world questions and data: All examples can be understood by students with an introductory economics background, so the instructor can focus on teaching econometrics, not microeconomics or macroeconomics.
Contemporary choice of topics: Stock and Watson focus on the procedures and tests commonly used in modern practice. For example:
Instrumental variables regression is presented as a general method for handling correlation between the error term and a regressor, which can arise for many reasons, including simultaneous causality. The two assumptions for a valid instrument-exogeneity and relevance-are given equal billing.
Program evaluation (covered in Chapter 11)includes a discussion of the strengths and weaknesses of randomized controlled experiments and natural experiments as alternative approaches to the problems of omitted variables, simultaneous causality, and selection.
Forecasting (Chapter 12)considers univariate (autoregressive) and multivariate forecasts using time series regression, not large simultaneous equation structural models.
Time series regression coverage makes a clear distinction between two very different applications of time series regression: forecasting and estimation of dynamic causal effects.
Theory that matches applications: This modern treatment of econometrics fits theory and applications together as tightly as possible. The three key differences that set the theoretical development of this text apart are a large sample approach that saves students time and frustration, treatment of data on all variables as the result of random sampling, and early use of heteroskedasticity rather than treating it as a problem to be solved.
Intuitive explanations: Praised by reviewers, the text features common-sense explanations that emphasize conceptual approaches to understanding and that facilitate students' mastery of both basic and technical topics.
Pedagogical features: Key Concept boxes throughout the text highlight and reinforce essential ideas. General-interest sidebars provide additional interesting real-world examples closely tied to the central ideas.
Accessible mathematics: Parts I-IV of the textbook, which cover all the core substantive material, are accessible to students with only precalculus mathematics.
Advanced topics: Part V, on introductory econometric theory, is suitable for those teaching a more rigorous basic course and for those teaching mathematical sections of undergraduate courses or master's level econometrics courses.
Companion Website: Web site features include data sets, projects, software tutorials, suggested empirical exercises of differing scopes, and more.

New to This Edition

Coverage of core regression material in Part II is expanded to four chapters. .
Chapter 4, Linear Regression with One Regressor, focuses solely on Ordinary Least Squares (OLS) estimation and assumptions.
Chapter 5, Hypothesis Tests and Confidence Intervals in the Single-Regressor Model, focuses on inference using OLS, including an expanded discussion of heteroskedasticity and homoskedasticity, a discussion of the t-distribution, and an expanded discussion of motivation for using OLS.
Chapter 6, Linear Regression with Multiple Regressors includes an expanded discussion of multicollniearity.
Chapter 7, Hypothesis Testing and Confidence Intervals in the Multiple Regression Model, includes inference using exact F-distribution. The homoskedasticity-only F-statistic formula, formerly in the Appendix, is now included and discussed in the text chapter.
Part IV, Regression Analysis of Economic Time Series Data, is redesigned to allow instructors the flexibility to move directly to it following Part II, Fundamentals of Regression Analysis.
Additional empirical examples appear throughout, including estimation of the value of an education, forecasting the stock market, and an estimation of the marginal propensity to consume using the 2001 US Income Tax Rebate.
An increased number of end-of-chapter exercises offer intensive practice working with the concepts and techniques introduced in the chapter.

Table of Contents
PART ONE: INTRODUCTION AND REVIEW
Chapter 1 Economic Questions and Data
Chapter 2 Review of Probability
Chapter 3 Review of Statistics

PART TWO: FUNDAMENTALS OF REGRESSION ANALYSIS
Chapter 4 Linear Regression with One Regressor
Chapter 5 Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals
Chapter 6 Linear Regression with Multiple Regressors
Chapter 7 Hypothesis Tests and Confidence Intervals in Multiple Regression
Chapter 8 Nonlinear Regression Functions
Chapter 9 Assessing Studies Based on Multiple Regression

PART THREE: FURTHER TOPICS IN REGRESSION ANALYSIS
Chapter 10 Regression with Panel Data
Chapter 11 Regression with a Binary Dependent Variable
Chapter 12 Instrumental Variables Regression
Chapter 13 Experiments and Quasi-Experiments

PART FOUR: REGRESSION ANALYSIS OF ECONOMIC TIME SERIES DATA
Chapter 14 Introduction to Time Series Regression and Forecasting
Chapter 15 Estimation of Dynamic Causal Effects
Chapter 16 Additional Topics in Time Series Regression

PART FIVE: THE ECONOMETRIC THEORY OF REGRESSION ANALYSIS
Chapter 17 The Theory of Linear Regression with One Regressor
Chapter 18 The Theory of Multiple Regression