Advanced Econometrics
Takeshi Amemiya(Author)
Harvard University Press
Published on 7. November 1985
Book
Hardback
536 pages
978-0-674-00560-0 (ISBN)
Description
Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.
Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.
Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.
Reviews / Votes
The book provides an excellent overview of modern developments in such major subjects as robust inference, model selection methods, feasible generalized least squares estimation, nonlinear simultaneous systems models, discrete response analysis, and limited dependent variable models. -- Charles F. Manski, University of Wisconsin-MadisonMore details
Language
English
Place of publication
Cambridge, Mass
United States
Target group
College/higher education
Professional and scholarly
Illustrations
10 line illustrations, display equations, 13 tables
Dimensions
Height: 232 mm
Width: 152 mm
Thickness: 41 mm
Weight
885 gr
ISBN-13
978-0-674-00560-0 (9780674005600)
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Schweitzer Classification
Content
1. Classical Least Squares Theory 2. Recent Developments in Regression Analysis 3. Large Sample Theory 4. Asymptotic Properties of Extremum Estimators 5. Time Series Analysis 6. Generalized Least Squares Theory 7. Linear Simultaneous Equations Models 8. Nonlinear Simultaneous Equations Models 9. Qualitative Response Models 10. Tobit Models 11. Markov Chain and Duration Models Appendix 1. Useful Theorems in Matrix Analysis Appendix 2. Distribution Theory Notes References Name Index Subject Index