Estimation and Inference in Econometrics

Davidson, Russell; MacKinnon, James G.

ISBN 10: 0195060113 / ISBN 13: 9780195060119

Published by Oxford University Press, USA, 1993

Missing dust jacket; Pages can have notes/highlighting. Spine may show signs of wear. ~ ThriftBooks: Read More, Spend Less 3.1. Seller Inventory # G0195060113I3N01

Synopsis:

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-nested hypothesis 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 the commands 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 of econometrics, economics, and statistics on regression and related topics.

About the Author: Russell Davidson and James G. MacKinnon are both at Queen's University.

Bibliographic Details

Title: Estimation and Inference in Econometrics
Publisher: Oxford University Press, USA
Publication Date: 1993
Binding: Hardcover
Condition: Good
Dust Jacket Condition: No Jacket