This book is intended for a first year graduate course in econometrics. However, the first six chapters have no matrix algebra and can be used in an advanced undergraduate class. This can be supplemented by some of the material in later chapters that do not require matrix algebra, like the first part of Chapter 11 on simultaneous equations and Chapter 14 on time-series analysis. This book teaches some of the basic econometric methods and the underlying assumptions behind them. Estimation, hypotheses testing and prediction are three recurrent themes in this book. Some uses of econometric methods include (i) empirical testing of economic t- ory, whether it is the permanent income consumption theory or purchasing power parity, (ii) forecasting, whether it is GNP or unemployment in the U.S. economy or future sales in the c- puter industry. (iii) Estimation of price elasticities of demand, or returns to scale in production. More importantly, econometric methods can be used to simulate the effect of policy changes like a tax increase on gasoline consumption, or a ban on advertising on cigarette consumption.
Reviews / Votes
From the reviews of the third edition:
"Teaching econometrics is not an easy task. There is always this elusive balance between mathematical rigour and economic intuition . . This textbook . keeps this balance perfectly well, and does a good job at persuasion too. . It teaches mostly by example, appeals a lot to intuition, and provides numerous real world data sets to practice . . It is therefore also well suited for self study and can be recommended . . a most useful text for an econometrics course anywhere." (Walter Krämer, Statistical Papers, Vol. 44 (1), 2003)
"The book is intended for a first year graduate course on econometrics, and the book strikes a balance between a rigorous approach that proves theorems and a completely empirical approach. The exercises contain theoretical problems that should supplement the understanding material in each chapter. . The book covers a wide range of econometric fields and presents many applications with real data sets which enable the reader to understand and to interpret the empirical results of the theoretical approaches." (Herbert S. Buscher, Zentralblatt MATH, Vol. 1007, 2003)
Edition
Language
Place of publication
Publishing group
Target group
College/higher education
Professional and scholarly
Edition type
Illustrations
51 s/w Tabellen
48 black & white illustrations, 51 black & white tables, 48 black & white line drawings
Dimensions
Height: 24.2 cm
Width: 19.3 cm
Weight
ISBN-13
978-3-540-43501-3 (9783540435013)
DOI
10.1007/978-3-662-04693-7
Schweitzer Classification
I.- 1 What is Econometrics?.- 2 Basic Statistical Concepts.- 3 Simple Linear Regression.- 4 Multiple Regression Analysis.- 5 Violations of the Classical Assumptions.- 6 Distributed Lags and Dynamic Models.- II.- 7 The General Linear Model: The Basics.- 8 Regression Diagnostics and Specification Tests.- 9 Generalized Least Squares.- 10 Seemingly Unrelated Regressions.- 11 Simultaneous Equations Model.- 12 Pooling Time-Series of Cross-Section Data.- 13 Limited Dependent Variables.- 14 Time-Series Analysis.- List of Figures.- List of Tables.
