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Table Of Contents

Introduction
Econometrics
Purpose of the book
Exhibit 0.1 Econometrics as an interdisciplinary field
Characteristic features of the book
Exhibit 0.2 Econometric modelling
Target audience and required background knowledge
Brief contents of the book
Study advice
Teaching suggestions
Some possible course structures
Review of Statistics
1.1 Descriptive statistics
1.1.1 Data graphs
Exhibit 1.1 Student Learning (Example 1.1)
Exhibit 1.2 Student Learning (Example 1.2)
Exhibit 1.3 Student Learning (Example 1.3)
1.1.2 Sample statistics
Exhibit 1.4 Student Learning (Example 1.4)
Exhibit 1.5 Student Learning (Example 1.5)
1.2 Random variables
1.2.1 Single random variables
1.2.2 Joint random variables
Exhibit 1.6 Student Learning (Example 1.6)
1.2.3 Probability distributions
1.2.4 Normal random samples
1.3 Parameter estimation
1.3.1 Estimation methods
1.3.2 Statistical properties
1.3.3 Asymptotic properties
Exhibit 1.12 Normal Random Sample (Example 1.9)
1.4 Tests of hypotheses
1.4.1 Size and power
1.4.2 Tests for mean and variance
1.4.3 Interval estimates and the bootstrap
Exhibit 1.17 Student Learning (Example 1.13)
Summary, further reading, and keywords
Exercises
Simple Regression
2.1 Least squares
2.1.1 Scatter diagrams
Exhibit 2.1 Stock Market Returns (Example 2.1)
Exhibit 2.2 Bank Wages (Example 2.2)
2.1.2 Least squares
Exhibit 2.3 Coffee Sales (Example 2.3)
Exhibit 2.4 Scatter diagram with fitted line
2.1.3 Residuals and R2
2.1.4 Illustration: Bank Wages
Exhibit 2.5 Bank Wages (Section 2.1.4)
Exhibit 2.6 Bank Wages (Section 2.1.4)
2.2 Accuracy of least squares
2.2.1 Data generating processes
Example 2.4: Simulated Regression Data
Exhibit 2.7 Stimulated Regression Data (Example 2.4)
Exhibit 2.8 Simulated Regression Data (Example 2.4)
2.2.2 Examples of regression models
2.2.3 Seven assumptions
2.2.4 Statistical properties
Exhibit 2.9 Accuracy of least squares
2.3.1 The t-test
2.3.2 Examples
Exhibit 2.10 Simulated Regression Data (Example 2.8)
2.3.3 Use under less strict conditions
Exhibit 2.11 Bank Wages (Example 2.9)
Exhibit 2.12 Quantiles of distributions of t-statistics
2.4 Prediction
2.4.1 Point predictions and prediction intervals
2.4.2 Examples
Exhibit 2.14 Simulated Regression Data (Example 2.10)
Exhibit 2.15 Bank Wages (Example 2.11)
Multiple Regression
3.1 Least squares in matrix form
3.1.1 Introduction
Exhibit 3.1 Scatter diagrams of Bank Wage data
3.1.2 Least squares
3.1.3 Geometric interpretation
3.1.4 Statistical properties
3.1.5 Estimating the disturbance variance
3.1.6 Coefficient of determination
Exhibit 3.4 Geometric picture of R2
3.1.7 Illustration: Bank Wages
Exhibit 3.5 Bank Wages (Section 3.1.7)
3.2 Adding or deleting variables
3.2.1 Restricted and unrestricted models
Exhibit 3.7 Bank Wages (Example 3.1)
3.2.2 Interpretation of regression coefficients
Exhibit 3.8 Bank Wages (Example 3.2)
3.2.3 Omitting variables
3.2.4 Consequences of redundant variables
3.2.5 Partial regression
Exhibit 3.10 Bank Wages (Example 3.3)
Exhibit 3.11 Bank Wages (Example 3.3)
3.3 The accuracy of estimates
3.3.1 The t-test
3.3.2 Illustration: Bank Wages
3.4.3 Chow forecast test
3.4.4 Illustration: Bank Wages
Exhibit 3.18 Bank Wages (Section 3.4.4)
Exhibit 3.19 Bank Wages (Section 3.4.4)
Non-Linear Methods
4.1 Asymptotic analysis
4.1.1 Introduction
Exhibit 4.1 Bank Wages (Example 4.1)
4.1.2 Stochastic regressors
4.1.3 Consistency
4.1.4 Asymptotic normality
4.1.5 Simulation examples
Exhibit 4.3 Simulation Example (Section 4.1.5)
Exhibit 4.4 Simulation Example (Section 4.1.5)
4.2 Non-linear regression
4.2.1 Motivation
Exhibit 4.5 Coffee Sales (Example 4.2)
Exhibit 4.6 Food Expenditure (Example 4.3)
4.2.2 Non-linear least squares
4.2.3 Non-linear optimization
4.2.4 The Lagrange Multiplier test
4.2.5 Illustration: Coffee Sales
Exhibit 4.9 Coffee Sales (Section 4.2.5)
Exhibit 4.10 Coffee Sales (Section 4.2.5)
4.3 Maximum likelihood
4.3.1 Motivation
4.3.2 Maximum likelihood estimation
Exhibit 4.11 Stock Market Returns (Example 4.4)
4.3.3 Asymptotic properties
4.3.4 The Likelihood Ratio test
Exhibit 4.13 Likelihood Ratio test
4.3.5 The Wald test
4.3.6 The Lagrange Multiplier test
Exhibit 4.15 Lagrange Multiplier test
4.3.7 LM-test in the linear model
4.3.8 Remarks on tests
4.3.9 Two examples
Exhibit 4.18 Stock Market Returns (Example 4.5)
Exhibit 4.19 Coffee Sales (Example 4.6)
4.4.1 Motivation
Exhibit 4.20 Stock Market Returns (Example 4.7)
4.4.2 GMM estimation
4.4.3 GMM standard errors
4.4.4 Quasi-maximum likelihood
4.4.5 GMM in simple regression
4.4.6 Illustration: Stock Market Returns
Exhibit 4.21 Stock Market Returns (Section 4.4.6)
5.1 Introduction
5.2.1 The number of explanatory variables
Exhibit 5.2 Bank Wages (Example 5.1)
Exhibit 5.3 Bank Wages (Example 5.1)
5.2.2 Non-linear functional forms
Exhibit 5.4 Bank Wages (Example 5.2)
5.2.3 Non-parametric estimation
Exhibit 5.7 Bank Wages (Example 5.4)
5.2.4 Data transformations
Exhibit 5.8 Bank Wages (Example 5.5)
Exhibit 5.9 Bank Wages (Example 5.5)
5.2.5 Summary
5.3 Varying parameters
5.3.1 The use of dummy variables
Exhibit 5.10 Fashion Sales (Example 5.6)
Exhibit 5.11 Fashion Sales (Example 5.6)
Exhibit 5.12 Coffee Sales (Example 5.7)
5.3.2 Recursive least squares
Exhibit 5.13 Bank Wages (Example 5.8)
5.3.3 Tests for varying parameters
Exhibit 5.14 Bank Wages (Example 5.9)
5.3.4 Summary
Exhibit 5.15 Bank Wages (Example 5.9)
5.4 Heteroskedasticity
5.4.1 Introduction
Exhibit 5.16 Bank Wages (Example 5.10)
Exhibit 5.17 Interest and Bond Rates (Example 5.11)
5.4.2 Properties of OLS and White standard errors
5.4.3 Weighted least squares
Exhibit 5.19 Bank Wages (Example 5.13)
Exhibit 5.20 Bank Wages (Example 5.13)
Exhibit 5.21 Interest and Bond Rates (Example 5.14)
5.4.4 Estimation by maximum likelihood and feasible WLS
Exhibit 5.22 Bank Wages (Example 5.15)
Exhibit 5.23 Interest and Bond Rates (Example 5.16)
5.4.5 Tests for homoskedasticity
Exhibit 5.24 Bank Wages (Example 5.17)
Exhibit 5.25 Bank Wages (Example 5.17)
Exhibit 5.26 Interest and Bond Rates (Example 5.18)
Exhibit 5.27 Interest and Bond Rates (Example 5.18)
5.4.6 Summary
5.5 Serial correlation
5.5.1 Introduction
Exhibit 5.28 Interest and Bond Rates (Example 5.19)
5.5.2 Properties of OLS
Exhibit 5.29 Food Expenditure (Example 5.20)
Exhibit 5.30 Interest and Bond Rates (Example 5.21)
5.5.3 Tests for serial correlation
Exhibit 5.31 Interest and Bond Rates (Example 5.22)
Exhibit 5.32 Food Expenditure (Example 5.23)
5.5.4 Model adjustments
Exhibit 5.33 Interest and Bond Rates (Example 5.24)
Exhibit 5.34 Food Expenditure (Example 5.25)
Exhibit 5.35 Industrial Production (Example 5.26)
5.5.5 Summary
Exhibit 5.36 Industrial Production (Example 5.26)
5.6 Disturbance distribution
5.6.1 Introduction
5.6.2 Regression diagnostics
Exhibit 5.38 Stock Market Returns (Example 5.27)
5.6.3 Test for normality
Exhibit 5.39 Stock Market Returns (Example 5.27)
5.6.4 Robust estimation
Exhibit 5.40 Stock Market Returns (Example 5.28)
Exhibit 5.42 Three estimation criteria
5.6.5 Summary
5.7.1 Instrumental variables and two-stage least squares
Exhibit 5.43 Interest and Bond Rates (Example 5.30)
5.7.2 Statistical properties of IV estimators
Exhibit 5.46 Interest and Bond Rates (Example 5.32)
Exhibit 5.47 Interest and Bond Rates (Example 5.33)
5.7.4 Summary
Exhibit 5.49 Salaries of Top Managers (Example 5.35)
6.1 Binary response
6.1.1 Model formulation
6.1.2 Probit and logit models
Exhibit 6.2 Normal and logistic densities
6.1.3 Estimation and evaluation
6.1.4 Diagnostics
6.1.5 Model for grouped data
6.1.6 Summary
6.2 Multinomial data
6.2.1 Unordered response
6.2.2 Multinomial and conditional logit
Exhibit 6.5 Bank Wages (Example 6.4)
6.2.3 Ordered response
Exhibit 6.7 Bank Wages (Example 6.5)
6.2.4 Summary
6.3.1 Truncated samples
6.3.2 Censored data
6.3.3 Models for selection and treatment effects
Exhibit 6.12 Student Learning (Example 6.8)
7.1.3 Autoregressive models
7.1.4 ARMA models
Exhibit 7.3 Simulated AR Time Series (Example 7.3)
7.1.5 Autocorrelations and partial autocorrelations
Exhibit 7.5 Simulated Time Series (Example 7.5)
7.1.6 Forecasting
7.1.7 Summary
Exhibit 7.6 Simulated Time Series (Example 7.6)
7.2.1 The modelling process
Exhibit 7.8 Industrial Production (Example 7.7)
7.2.2 Parameter estimation
7.2.3 Model selection
Exhibit 7.9 Industrial Production (Example 7.8)
Exhibit 7.10 Industrial Production (Example 7.10)
7.2.4 Diagnostic tests
Exhibit 7.11 Industrial Production (Example 7.11)
Exhibit 7.12 Industrial Production (Example 7.11)
7.2.5 Summary
7.3 Trends and seasonals
7.3.1 Trend models
7.3.2 Trend estimation and forecasting
Exhibit 7.14 Industrial Production (Example 7.13)
7.3.3 Unit root tests
Exhibit 7.15 Industrial Production (Example 7.13)
Exhibit 7.17 Industrial Production (Example 7.14)
Exhibit 7.18 Dow-Jones Index (Example 7.15)
7.3.4 Seasonality
Exhibit 7.19 Industrial Production (Example 7.16)
Exhibit 7.20 Industrial Production (Example 7.16)
7.3.5 Summary
7.4.1 Outliers
Exhibit 7.21 Industrial Production (Example 7.17)
7.4.2 Time-varying parameters
7.4.3 GARCH models for clustered volatility
7.4.4 Estimation and diagnostic tests of GARCH models
7.4.5 Summary
7.5 Regression models with lags
7.5.1 Autoregressive models with distributed lags
Autoregressive model with distributed lags
7.5.2 Estimation, testing, and forecasting
7.5.3 Regression of variables with trends
7.5.4 Summary
7.6 Vector autoregressive models
7.6.1 Stationary vector autoregressions
7.6.2 Estimation and diagnostic tests of stationary
7.6.3 Trends and cointegration
7.6.4 Summary
7.7 Other multiple equation
7.7.1 Introduction
7.7.2 Seemingly unrelated regression model
7.7.3 Panel data
7.7.4 Simultaneous equation model
7.7.5 Summary
Appendix A. Matrix Methods
A.1 Summations
A.2 Vectors and matrices
A.3 Matrix addition and multiplication
A.4 Transpose, trace, and inverse
A.5 Determinant, rank, and eigenvalues
A.6 Positive (semi)definite matrices and projections
A.7 Optimization of a function of several variables
Appendix B. Data Sets
Index
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Econometric Methods With Applications in Business and Economics

Econometric Methods With Applications in Business and Economics

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Econometric Methods With Applications in Business and Economics
Oxford
Econometric Methods With Applications in Business and Economics
Oxford

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Published by: Dominique Van den Langenberg on Jul 22, 2013
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