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Theory of econometrics an introductory exposition of econometric methods
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| Format: | Book |
| Language: | English |
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New York
Palgrave
1977
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| Edition: | 2nd ed. |
| Subjects: |
Table of Contents:
- Definition scope and division of econometrics Methodology of econometric research Correlation theory Simple linear regression model Ordinary least squares method (OLS) Statistical tests of significance of the estimates Properties of the least squares estimates Multiple regression and other extension of the simple linear regression model Regression and analysis of variance Assumptions of randomness, zero mean, constant variance and normality of the disturbance variable u Autocorrelation Multicollinearity Errors in variables, time as a variable, dummy variables, grouped data Lagged variables and distributed-lag models Simultaneous equation models Identification Simultaneous equation methods Mixed estimation methods Method of principal components Maximum likelihood methods Three-stage least squares Testing the forecasting power of an estimated model Choice of econometric technique, Monte Carlo studies