Estimation and Inference in Econometrics (Hardcover)

Russell Davidson

ISBN 10: 0195060113 / ISBN 13: 9780195060119

Editore: Oxford University Press Inc, New York, 1993

Riguardo questo articolo

Hardcover. Offering students a unifying theoretical perspective, this innovative text emphasizes nonlinear techniques of estimation, including nonlinear least squares, nonlinear instrumental variables, maximum likelihood and the generalized method of moments, but nevertheless relies heavily on simple geometrical arguments to develop intuition. One theme of the book is the use of artificial regressions for estimation, inference, and specification testing of nonlinear models,including diagnostic tests for parameter constancy, series correlation, heteroskedasticity and other types of misspecification. Other topics include the linear simultaneous equations model, non-nestedhypothesis tests, influential observations and leverage, transformations of the dependent variable, binary response models, models for time-series/cross-section data, multivariate models, seasonality, unit roots and cointegration, and Monte Carlo methods, always with an emphasis on problems that arise in applied work. Explaining throughout how estimates can be obtained and tests can be carried out, the text goes beyond a mere algebraic description to one that can be easily translated into thecommands of a standard econometric software package. A comprehensive and coherent guide to the most vital topics in econometrics today, this text is indispensable for all levels of students ofeconometrics, economics, and statistics on regression and related topics. A textbook for graduates in econometrics, covering both basic and advanced topics and using geometrical proofs throughout for clarity of exposition. The book offers a unified theoretical perspective, and emphasizes the practical applications of modern theory. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

Codice articolo 9780195060119

Dati bibliografici

• Titolo: Estimation and Inference in Econometrics (Hardcover)
• Editore: Oxford University Press Inc, New York
• Data di pubblicazione: 1993
• Lingua: Inglese
• ISBN 10: 0195060113
• ISBN 13: 9780195060119
• Rilegatura: Hardcover
• Condizione: new

Descrizione articolo

Riassunto

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation.

One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package.

Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Informazioni sull?autore

Russell Davidson was born in Johnstone, Scotland, and studied at the University of Glasgow, where he gained a PhD. in Physics in 1966. He was a Faculty Associate at the University of Texas, Austin from 1967-70. He turned to economics in the early 1970s and took a PhD. in economics at the University of British Columbia in 1977 and was a Post-doctoral Fellow there from 1972-3. He was Assistant Professor at Queen's University, Canada, from 1977-82 and Associate Professor there from 1982-5.

James MacKinnon studied at York University, Toronto, and Princeton University. He was Assistant Professor at Queen's University, Canada, from 1975-8 and Associate Professor from 1982-91. He has been a Fellow of the Econometric Society since 1990.