Introduction to Econometrics

Preface Chapter 1 An Overview of Econometrics 1.1 The Importance of Econometrics 1.2 Types of Economic Data 1.3 Working with Data: Graphical Methods 1.4 Working with Data: Descriptive Statistics and Correlation 1.5 Chapter Summary 1.6 Exercises Chapter 2 A Non-technical Introduction to Regression 2.1 Introduction 2.2 The Simple Regression Model 2.3 The Multiple Regression Model 2.4 Chapter Summary 2.5 Exercises Chapter 3 The Econometrics of the Simple Regression Model 3.1 Introduction 3.2 A Review of Basic Concepts in Probability in the Context of the Regression Model 3.3 The Classical Assumptions for the Regression Model 3.4 Properties of the Ordinary Least Squares Estimator of ² 3.5 Deriving a Confidence Interval for ² 3.6 Hypothesis Tests about ² 3.7 Modifications to Statistical Procedures when µ² is Unknown 3.8 Chapter Summary 3.9 Exercises Appendices Chapter 4 The Econometrics of the Multiple Regression Model 4.1 Introduction 4.2 Basic Results for the Multiple Regression Model 4.3 Issues Relating to the Choice of Explanatory Variables 4.4 Hypothesis Testing in the Multiple Regression Model 4.5 Choice of Functional Form in the Multiple Regression Model 4.6 Chapter Summary 4.7 Exercises Appendix Chapter 5 The Multiple Regression Model: Freeing up Classical Assumptions 5.1 Introduction 5.2 Basic Theoretical Results 5.3 Heteroskedasticity 5.4 The Regression Model with Autocorrelated Errors 5.5 The Instrumental Variables Estimator 5.6 Chapter Summary 5.7 Exercises Appendix Chapter 6 Univariate Time Series Analysis 6.1 Introduction 6.2 Time Series Notation 6.3 Trends in Time Series Variables 6.4 The Autocorrelation Function 6.5 The Autoregressive Model 6.6 Defining Stationarity 6.7 Modelling Volatility 6.8 Chapter Summary 6.9 Exercises Appendix Chapter 7 Regression with Time Series Variables 7.1 Introduction 7.2 Time Series Regression when X and Y are Stationary 7.3 Time Series Regression When Y and X have Unit Roots 7.4 Time Series Regression when Y and X have Unit Roots but are NOT Cointegrated 7.5 Granger Causality 7.6 Vector Autoregressions 7.7 Chapter Summary 7.8 Exercises Appendix Chapter 8 Models for Panel Data 8.1 Introduction 8.2 The Pooled Model 8.3 Individual Effects Models 8.4 Chapter Summary 8.5 Exercises Chapter 9 Qualitative Choice and Limited Dependent Variable Models 9.1 Introduction 9.2 Qualitative Choice Models 9.3 Limited Dependent Variable Models 9.4 Chapter Summary 9.5 Exercises Chapter 10 Bayesian Econometrics 10.1 An Overview of Bayesian Econometrics 10.2 The Normal Linear Regression Model with Natural Conjugate Prior and a Single Explanatory Variable 10.3 Chapter Summary 10.4 Exercises Appendix