Learning and Practicing Econometrics

Learning and Practicing Econometrics

저자 Griffiths, William E./ Hill, R. Carter/ Judge, Geo | 출판사 John Wiley & Sons Inc

정가 : 145,690원

1992년 09월 01일 출간 | 언어 : English 

ISBN-10 : 0471513644 

목차

PARTIAL TABLE OF CONTENTS: Partial table of
contents:
THE FOUNDATIONS OF ESTIMATION AND INFERENCE.
Some Basic Ideas: Statistical Concepts for
Economists.
Statistical Inference 1: Estimating the Mean
and Variance of a Population.
THE SIMPLE LINEAR STATISTICAL MODEL.
Simple Regression: Economic and Statistical
Model Specification and Estimation.
GENERAL LINEAR STATISTICAL MODEL.
Inference in the General Linear Statistical
Model.
ECONOMETRIC TOPICS 1.
Dummy Variables and Varying Coefficient
Models.
Collinear Economic Variables.
LINEAR STATISTICAL MODELS WITH A GENERAL ERROR
COVARIANCE MATRIX.
Heteroskedastic Errors.
SPECIFYING AND ESTIMATING ECONOMIC AND
STATISTICAL MODELS WITH FEEDBACK MECHANISMS.
Estimation and Inference for the Simultaneous
Equations Model.
TIME-SERIES AND DYNAMIC ECONOMIC MODELS.
Bivariate and Multivariate Time-Series Models.
ECONOMETRIC TOPICS 2.
Nonlinear Least Squares.
BAYESIAN ESTIMATION AND INFERENCE.
The Bayesian Approach to Estimation and
Inference: Some Basic Definitions, Concepts,
and Applications.
ECONOMIC DATA SOURCES AND THE WRITING TASK.
Economic Data Sources, Guidelines for
Choosing a Research Project, and the Writing
of a Research Report.
Statistical Tables.
Index. 
 

Econometrics - Hayashi, Fumio

Econometrics - Hayashi, Fumio

저자 Hayashi, Fumio | 출판사 Princeton Univ Press

	정가 : 108,300원
	판매가 : 108,300원(0%)
	마일리지 : 3% 적립(3,250원)

2000년 10월 01일 출간 | 언어 : English | ISBN : 0691010188

683쪽 | 18.41 * 26.04 * 3.17 (cm) Hardcover |

List of Figures xvii
Preface xix
Finite-Sample Properties of OLS 3 (85)
The Classical Linear Regression Model 3 (12)
The Linearity Assumption 4 (2)
Matrix Notation 6 (1)
The Strict Exogeneity Assumption 7 (1)
Implications of Strict Exogeneity 8 (1)
Strict Exogeneity in Time-Series Models 9 (1)
Other Assumptions of the Model 10 (2)
The Classical Regression Model for Random 12 (1)
Samples
``Fixed'' Regressors 13 (2)
The Algebra of Least Squares 15 (12)
OLS Minimizes the Sum of Squared Residuals 15 (1)
Normal Equations 16 (2)
Two Expressions for the OLS Estimator 18 (1)
More Concepts and Algebra 18 (3)
Influential Analysis (optional) 21 (2)
A Note on the Computation of OLS Estimates 23 (4)
Finite-Sample Properties of OLS 27 (6)
Finite-Sample Distribution of b 27 (3)
Finite-Sample Properties of s2 30 (1)
Estimate of Var(b/X) 31 (2)
Hypothesis Testing under Normality 33 (14)
Normally Distributed Error Terms 33 (2)
Testing Hypotheses about Individual 35 (2)
Regression Coefficients
Decision Rule for the t-Test 37 (1)
Confidence Interval 38 (1)
p-Value 38 (1)
Linear Hypotheses 39 (1)
The F-Test 40 (2)
A More Convenient Expression for F 42 (1)
t versus F 43 (2)
An Example of a Test Statistic Whose 45 (2)
Distribution Depends on X
Relation to Maximum Likelihood 47 (7)
The Maximum Likelihood Principle 47 (1)
Conditional versus Unconditional 47 (1)
Likelihood
The Log Likelihood for the Regression 48 (1)
Model
ML via Concentrated Likelihood 48 (1)
Cramer-Rao Bound for the Classical 49 (3)
Regression Model
The F-Test as a Likelihood Ratio Test 52 (1)
Quasi-Maximum Likelihood 53 (1)
Generalized Least Squares (GLS) 54 (6)
Consequence of Relaxing Assumption 1.4 55 (1)
Efficient Estimation with Known V 55 (3)
A Special Case: Weighted Least Squares 58 (1)
(WLS)
Limiting Nature of GLS 58 (2)
Application: Returns to Scale in 60 (28)
Electricity Supply
The Electricity Supply Industry 60 (1)
The Data 60 (1)
Why Do We Need Econometrics? 61 (1)
The Cobb-Douglas Technology 62 (1)
How Do We Know Things Are Cobb-Douglas? 63 (1)
Are the OLS Assumptions Satisfied? 64 (1)
Restricted Least Squares 65 (1)
Testing the Homogeneity of the Cost 65 (2)
Function
Detour: A Cautionary Note on R2 67 (1)
Testing Constant Returns to Scale 67 (1)
Importance of Plotting Residuals 68 (1)
Subsequent Developments 68 (3)
Problem Set 71 (13)
Answers to Selected Questions 84 (4)
Large-Sample Theory 88 (98)
Review of Limit Theorems for Sequences of 88 (9)
Random Variables
Various Modes of Convergence 89 (3)
Three Useful Results 92 (2)
Viewing Estimators as Sequences of Random 94 (1)
Variables
Laws of Large Numbers and Central Limit 95 (2)
Theorems
Fundamental Concepts in Time-Series Analysis 97 (12)
Need for Ergodic Stationarity 97 (1)
Various Classes of Stochastic Processes 98 (8)
Different Formulation of Lack of Serial 106 (1)
Dependence
The CLT for Ergodic Stationary Martingale 106 (3)
Differences Sequences
Large-Sample Distribution of the OLS 109 (8)
Estimator
The Model 109 (4)
Asymptotic Distribution of the OLS 113 (2)
Estimator
s2 Is Consistent 115 (2)
Hypothesis Testing 117 (6)
Testing Linear Hypotheses 117 (2)
The Test Is Consistent 119 (1)
Asymptotic Power 120 (1)
Testing Nonlinear Hypotheses 121 (2)
Estimating E(ε2iXiX'i) Consistently 123 (3)
Using Residuals for the Errors 123 (2)
Data Matrix Representation of S 125 (1)
Finite-Sample Considerations 125 (1)
Implications of Conditional Homoskedasticity 126 (5)
Conditional versus Unconditional 126 (1)
Homoskedasticity
Reduction to Finite-Sample Formulas 127 (1)
Large-Sample Distribution of t and F 128 (1)
Statistics
Variations of Asymptotic Tests under 129 (2)
Conditional Homoskedasticity
Testing Conditional Homoskedasticity 131 (2)
Estimation with Parameterized Conditional 133 (4)
Heteroskedasticity (optional)
The Functional Form 133 (1)
WLS with Known α 134 (1)
Regression of e2i on zi Provides a 135 (1)
Consistent Estimate of α
WLS with Estimated α 136 (1)
OLS versus WLS 137 (1)
Least Squares Projection 137 (4)
Optimally Predicting the Value of the 138 (1)
Dependent Variable
Best Linear Predictor 139 (1)
OLS Consistently Estimates the Projection 140 (1)
Coefficients
Testing for Serial Correlation 141 (9)
Box-Pierce and Ljung-Box 142 (2)
Sample Autocorrelations Calculated from 144 (2)
Residuals
Testing with Predetermined, but Not 146 (1)
Strictly Exogenous, Regressors
An Auxiliary Regression-Based Test 147 (3)
Application: Rational Expectations 150 (10)
Econometrics
The Efficient Market Hypotheses 150 (2)
Testable Implications 152 (1)
Testing for Serial Correlation 153 (3)
Is the Nominal Interest Rate the Optimal 156 (2)
Predictor?
Rt Is Not Strictly Exogenous 158 (1)
Subsequent Developments 159 (1)
Time Regressions 160 (26)
The Asymptotic Distribution of the OLS 161 (2)
Estimator
Hypothesis Testing for Time Regressions 163 (1)
Appendix 2. A: Asymptotics with Fixed 164 (1)
Regressors
Appendix 2. B: Proof of Proposition 2.10 165 (3)
Problem Set 168 (15)
Answers to Selected Questions 183 (3)
Single-Equation GMM 186 (72)
Endogeneity Bias: Working's Example 187 (6)
A Simultaneous Equations Model of Market 187 (1)
Equilibrium
Endogeneity Bias 188 (1)
Observable Supply Shifters 189 (4)
More Examples 193 (5)
A Simple Macroeconometric Model 193 (1)
Errors-in-Variables 194 (2)
Production Function 196 (2)
The General Formulation 198 (6)
Regressors and Instruments 198 (2)
Identification 200 (2)
Order Condition for Identification 202 (1)
The Assumption for Asymptotic Normality 202 (2)
Generalized Method of Moments Defined 204 (4)
Method of Moments 205 (1)
Generalized Method of Moments 206 (1)
Sampling Error 207 (1)
Large-Sample Properties of GMM 208 (9)
Asymptotic Distribution of the GMM 209 (1)
Estimator
Estimation of Error Variance 210 (1)
Hypothesis Testing 211 (1)
Estimation of S 212 (1)
Efficient GMM Estimator 212 (2)
Asymptotic Power 214 (1)
Small-Sample Properties 215 (2)
Testing Overidentifying Restrictions 217 (5)
Testing Subsets of Orthogonality 218 (4)
Conditions
Hypothesis Testing by the Likelihood-Ratio 222 (3)
Principle
The LR Statistic for the Regression Model 223 (1)
Variable Addition Test (optional) 224 (1)
Implications of Conditional Homoskedasticity 225 (11)
Efficient GMM Becomes 2SLS 226 (1)
J Becomes Sargan's Statistic 227 (2)
Small-Sample Properties of 2SLS 229 (1)
Alternative Derivations of 2SLS 229 (2)
When Regressors Are Predetermined 231 (1)
Testing a Subset of Orthogonality 232 (2)
Conditions
Testing Conditional Homoskedasticity 234 (1)
Testing for Serial Correlation 234 (2)
Application: Returns from Schooling 236 (22)
The NLS-Y Data 236 (1)
The Semi-Log Wage Equation 237 (1)
Omitted Variable Bias 238 (1)
IQ as the Measure of Ability 239 (1)
Errors-in-Variables 239 (3)
2SLS to Correct for the Bias 242 (1)
Subsequent Developments 243 (1)
Problem Set 244 (10)
Answers to Selected Questions 254 (4)
Multiple-Equation GMM 258 (65)
The Multiple-Equation Model 259 (6)
Linearity 259 (1)
Stationarity and Ergodicity 260 (1)
Orthogonality Conditions 261 (1)
Identification 262 (2)
The Assumption for Asymptotic Normality 264 (1)
Connection to the ``Complete'' System of 265 (1)
Simultaneous Equations
Multiple-Equation GMM Defined 265 (3)
Large-Sample Theory 268 (3)
Single-Equation versus Multiple-Equation 271 (3)
Estimation
When Are They ``Equivalent''? 272 (1)
Joint Estimation Can Be Hazardous 273 (1)
Special Cases of Multiple-Equation GMM: 274 (12)
FIVE, 3SLS and SUR
Conditional Homoskedasticity 274 (1)
Full-Information Instrumental Variables 275 (1)
Efficient (FIVE)
Three-Stage Least Squares (3SLS) 276 (3)
Seemingly Unrelated Regressions (SUR) 279 (2)
SUR versus OLS 281 (5)
Common Coefficients 286 (10)
The Model with Common Coefficients 286 (1)
The GMM Estimator 287 (1)
Imposing Conditional Homoskedasticity 288 (2)
Pooled OLS 290 (2)
Beautifying the Formulas 292 (1)
The Restriction That Isn't 293 (3)
Application: Interrelated Factor Demands 296 (27)
The Translog Cost Function 296 (1)
Factor Shares 297 (1)
Substitution Elasticities 298 (1)
Properties of Cost Functions 299 (1)
Stochastic Specifications 300 (1)
The Nature of Restrictions 301 (1)
Multivariate Regression Subject to 302 (2)
Cross-Equation Restrictions
Which Equation to Delete? 304 (1)
Results 305 (3)
Problem Set 308 (12)
Answers to Selected Questions 320 (3)
Panel Data 323 (42)
The Error-Components Model 324 (6)
Error Components 324 (3)
Group Means 327 (1)
A Reparameterization 327 (3)
The Fixed-Effects Estimator 330 (7)
The Formula 330 (1)
Large-Sample Properties 331 (2)
Digression: When ηi Is Spherical 333 (1)
Random Effects versus Fixed Effects 334 (1)
Relaxing Conditional Homoskedasticity 335 (2)
Unbalanced Panels (optional) 337 (5)
``Zeroing Out'' Missing Observations 338 (1)
Zeroing Out versus Compression 339 (1)
No Selectivity Bias 340 (2)
Application: International Differences in 342 (23)
Growth Rates
Derivation of the Estimation Equation 342 (1)
Appending the Error Term 343 (1)
Treatment of αi 344 (1)
Consistent Estimation of Speed of 345 (1)
Convergence
Appendix 5.A: Distribution of Hausman 346 (3)
Statistic
Problem Set 349 (14)
Answers to Selected Questions 363 (2)
Serial Correlation 365 (80)
Modeling Serial Correlation: Linear 365 (10)
Processes
MA(q)

책읽으면서 낙서?

책읽면서 낙서도 하라는 건가?

참 재미잇군...

[퍼온글] 즐겨찾는 판매자

전출처 : 옴마니반메훔(2) > 즐겨찾는 판매자

하나 더 있습니다.

중고샵을 이용하다보면 내게 맞는(선호하는) 책을 내놓은 판매자를 만날 수 있습니다.

그래서 자주 들러보곤 하는데 인터넷에서 '즐겨찾기'처럼 이를테면 '즐겨찾는 중고판매자' 기능을 두면 편하게 자주 찾아 둘러볼 수 있지 않을까 생각됩니다.

그럼.

[퍼온글] 상품 검색 기능

전출처 : 옴마니반메훔(2) > 상품 검색 기능

알라딘 중고 서점을 이용한지 약 두 달가량 되어갑니다.

중고샵을 이용하면서 개별 판매자가 내어 놓은 상품을 검색할 수 있는 기능이 있으면 좋겠다는 생각을 합니다.

상품이 많을 경우 일일히 눈으로 확인해서 찾아야 하는 수고가 따릅니다.

'판매자 직접 배송'이나 '알라딘 직접 배송'으로 들어가 더 많은 책들을 찾아 고르기가 어렵습니다.

그럼..