Introductory Econometrics

This book provides a rigorous introduction to the principles of econometrics and gives students and practitioners the tools they need to effectively and accurately analyze real data. Thoroughly updated to address the developments in the field that have occurred since the original publication of this classic text, the second edition has been expanded to include two chapters on time series analysis and one on nonparametric methods. Discussions on covariance (including GMM), partial identification, and empirical likelihood have also been added. The selection of topics and the level of discourse give sufficient variety so that the book can serve as the basis for several types of courses. This book is intended for upper undergraduate and first year graduate courses in economics and statistics and also has applications in mathematics and some social sciences where a reasonable knowledge of matrix algebra and probability theory is common. It is also ideally suited for practicing professionals who want to deepen their understanding of the methods they employ. Also available for the new edition is a solutions manual, containing answers to the end-of-chapter exercises. .-- Provided by publisher "This book provides a rigorous introduction to the principles of econometrics and gives students and practitioners the tools they need to effectively and accurately analyze real data. Thoroughly updated to address the developments in the field that have occurred since the original publication of this classic text, the second edition has been expanded to include two chapters on time series analysis and one on nonparametric methods. Discussions on covariance (including GMM), partial identification, and empirical likelihood have also been added. The selection of topics and the level of discourse give sufficient variety so that the book can serve as the basis for several types of courses. This book is intended for upper undergraduate and first year graduate courses in economics and statistics and also has applications in mathematics and some social sciences where a reasonable knowledge of matrix algebra and probability theory is common. It is also ideally suited for practicing professionals who want to deepen their understanding of the methods they employ. Also available for the new edition is a solutions manual, containing answers to the end-of-chapter exercises."--Springer Annotation This book provides a rigorous introduction to the principles of econometrics and gives students and practitioners the tools they need to effectively and accurately analyze real data. Thoroughly updated to address the developments in the field that have occurred since the original publication of this classic text, the second edition has been expanded to include two chapters on time series analysis and one on nonparametric methods. Discussions on covariance (including GMM), partial identification, and empirical likelihood have also been added. The selection of topics and the level of discourse give sufficient variety so that the book can serve as the basis for several types of courses. This book is intended for upper undergraduate and first year graduate courses in economics and statistics and also has applications in mathematics and some social sciences where a reasonable knowledge of matrix algebra and probability theory is common. It is also ideally suited for practicing professionals who want to deepen their understanding of the methods they employ. Also available for the new edition is a solutions manual, containing answers to the end-of-chapter exercises Front Matter ....Pages i-xvi The General Linear Model I (Phoebus Dhrymes)....Pages 1-36 The General Linear Model II (Phoebus Dhrymes)....Pages 37-113 The General Linear Model III (Phoebus Dhrymes)....Pages 115-228 The General Linear Model IV (Phoebus Dhrymes)....Pages 229-291 Misspecification Analysis and Errors in Variables (Phoebus Dhrymes)....Pages 293-352 Systems of Simultaneous Equations (Phoebus Dhrymes)....Pages 353-414 Time Series Modeling (Phoebus Dhrymes)....Pages 415-476 Forecasting: Accuracy and Evaluation (Phoebus Dhrymes)....Pages 477-526 Discrete Choice Models: Logit and Probit Analysis (Phoebus Dhrymes)....Pages 527-559 Statistical and Probabilistic Background (Phoebus Dhrymes)....Pages 561-611 Back Matter ....Pages 613-626