计量经济学：英文版

Preface

TableofContents

PartI

1WhatisEconometrics?

1.1Introduction

1.2ABriefHistory

1.3CritiquesofEconometrics

1.4LookingAhead

Notes

References

2BasicStatisticalConcepts

2.1Introduction

2.2MethodsofEstimation

2.3PropertiesofEstimators

2.4HypothesisTesting

2.5ConfidenceIntervals

2.6DescriptiveStatistics

Notes

Problems

References

Appendix

SimpleLinearRegression

3.1Introduction

312LeastSquaresEstimationandtheClassicalAssumptions

3.3StatisticalPropertiesofLeastSquares

3.4Estimationofσ2

3.5MaximumLikelihoodEstimatior

3.6AMeasureofFit

3.7Prediction

3.8ResidualAnalysis

3.9NumericalExample

3.10EmpiricalExample

Problems

References

Appendix

4MultipleRegressionAnalysis

4.1Introduction

4.2LeastSquaresEstimation

4.3ResidualInterpretationofMultipleRegressionEstimates

4.4OverspecificationandUnderspecificationoftheRegressionEquation

4.5R-SquaredversusR-Bar-Squared

4.6TestingLinearRestrictions

4.7DummyVariables

Note

Problems

References

Appendix

5ViolationsoftheClassicalAssumptions

5.1Introduction

5.2TheZeroMeanAssumption

5.3StochasticExplanatoryVariables

5.4NormalityoftheDisturbances

5.5Heteroskedasticity

5.6Autocorrelation

Notes

Problems

References

6DistributedLagsandDynamicModels

6.1Introduction

6.2InfiniteDistributedLag

6.2.1AdaptiveExpectationsModel(AEM)

6.2.2PartialAdjustmentModel(PAM)

6.3EstimationandTestingofDynamicModelswithSerialCorrelation

6.3.1ALaggedDependentVariableModelwithAR(1)Disturbances

6.3.2ALaggedDependentVariableModelwithMA(1)Disturbances

6.4AutoregressiveDistributedLag

Note

Problems

References

PartII

7TheGeneralLinearModel:TheBasics

7.1Introduction

7.2LeastSquaresEstimation

7.3PartitionedRegressionandtheFrisch-Waugh-LovellTheorem

7.4MaximumLikelihoodEstimation

7.5Prediction

7.6ConfidenceIntervalsandTestofHypotheses

7.7JointConfidenceIntervalsandTestofHypotheses

7.8RestrictedMLEandRestrictedLeastSquares

7.9LikelihoodRatio,WaldandLagrangeMultiplierTests

Notes

Problems

References

Appendix

8RegressionDiagnosticsandSpecificationTests

8.1InfluentialObservations

8.2RecursiveResiduals

8.3SpecificationTests

8.4NonlinearLeastSquaresandtheGauss-NewtonRegression

8.5TestingLinearversusLog-LinearFunctionalForm

Notes

Problems

References

9GeneralizedLeastSquares

9.1Introduction

9.2GeneralizedLeastSquares

9.3SpecialFormsofΩ

9.4MaximumLikelihoodEstimation

9.5TestofHypotheses

9.6Prediction

9.7UnknownΩ

9.8TheW,LRandLMStatisticsRevisited

9.9SpatialErrorCorrelation

Note

Problems

References

10SeeminglyUnrelatedRegressions

10.1Introduction

10.2FeasibleGLSEstimation

10.3TestingDiagonalityoftheVariance-CovarianceMatrix

10.4SeeminglyUnrelatedRegressionswithUnequalObservations

10.5EmpiricalExample

Problems

References

11SimultaneousEquationsModel

11.1Introduction

11.1.1SimultaneousBias

11.1.2TheIdentificationProblem

11.2SingleEquationEstimation:Two-StageLeastSquares

11.3SystemEstimation:Three-StageLeastSquares

11.4TheIdentificationProblemRevisited:TheRankConditionofIdentification

11.5TestforOver-IdentificationRestrictions

11.6Hausman'sSpecificationTest

11.7EmpiricalExample

Note

Problems

References

12PoolingTime-SeriesofCross-SectionData

12.1Introduction

12.2TheErrorComponentsProcedure

12.2.1TheFixedEffectsModel

12.2.2TheRandomEffectsModel

12.2.3MaximumLikelihoodEstimation

12.2.4Prediction

12.2.5EmpiricalExample

12.2.6TestinginaPooledModel

12.3Time-WiseAutocorrelatedandCross-SectionallyHeteroskedasticProcedures

12.4AComparisonoftheTwoProcedures

Problems

References

13LimitedDependentVariables

13.1Introduction

13.2TheLinearProbabilityModel

13.3FunctionalForm:LogitandProbit

13.4GroupedData

13.5IndividualData:ProbitandLogit

13.6TheBinaryResponseModelRegression

13.7AsymptoticVariancesforPredictionsandMarginalEffects

13.8GoodnessofFitMeasures

13.9EmpiricalExample

13.10MultinomialChoiceModels

13.10.1OrderedResponseModels

13.10.2UnorderedResponseModels

13.11TheCensoredRegressionModel

13.12TheTruncatedRegressionModel

13.13SampleSelectivity

Notes

Problems

References

Appendix

14Time-SeriesAnalysis

14.1Introduction

14.2Stationarity

14.3TheBoxandJenkinsMethod

14.4VectorAutoregression

14.5UnitRoots

14.6TrendStationaryversusDifferenceStationary

14.7Cointegration

14.8AutoregressiveConditionalHeteroskedasticity

Note

Problems

References

Appendix

ListofFigures

ListofTables

Index