Econometric Modeling: A Likelihood Approach

Media type: E-Book

Title: Econometric Modeling : A Likelihood Approach

Contains: Frontmatter
Contents
Preface
Data and software
Chapter One. The Bernoulli model
Chapter Two. Inference in the Bernoulli model
Chapter Three. A first regression model
Chapter Four. The logit model
Chapter Five. The two-variable regression model
Chapter Six. The matrix algebra of two-variable regression
Chapter Seven. The multiple regression model
Chapter Eight. The matrix algebra of multiple regression
Chapter Nine. Mis-specification analysis in cross sections
Chapter Ten. Strong exogeneity
Chapter Eleven. Empirical models and modeling
Chapter Twelve. Autoregressions and stationarity
Chapter Thirteen. Mis-specification analysis in time series
Chapter Fourteen. The vector autoregressive model
Chapter Fifteen. Identification of structural models
Chapter Sixteen. Non-stationary time series
Chapter Seventeen. Cointegration
Chapter Eighteen. Monte Carlo simulation experiments
Chapter Nineteen. Automatic model selection
Chapter Twenty. Structural breaks
Chapter Twenty One. Forecasting
Chapter Twenty Two. The way ahead
References
Author index
Subject index

Contributor: Hendry, David F. [Author]; Nielsen, Bent [Author]

Published: Princeton, NJ: Princeton University Press, 2012

Extent: 1 Online-Ressource (384 p.); 50 line illus

Language: English

DOI: 10.1515/9781400845651

ISBN: 9781400845651

Identifier:

Keywords: Econometric models ; Econometrics ; BUSINESS & ECONOMICS / Econometrics ; Exogeny ; Exploratory data analysis ; F-distribution ; F-test ; Fair coin ; Forecast error ; Forecasting ; Granger causality ; Heteroscedasticity ; Inference ; Instrumental variable ; Joint probability distribution ; Law of large numbers ; Least absolute deviations ; Least squares ; Likelihood function ; Likelihood-ratio test ; Linear regression ; Logistic regression ; Lucas critique ; Marginal distribution ; [...]

Origination:

Footnote: In English

Description: Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research

Access State: Restricted Access | Information to licenced electronic resources of the SLUB

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