Econometric Analysis

William W. Greene

1004 pages, parution le 08/01/2002 (4^eme édition)

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Résumé

An effective bridge to both on-the-job problems and to the professional literature, this volume is recognized as a standard reference on economictrics for Economics, Sociology, Political Science, Medical Research, Transport Research, Environmental Economics, etc. Featuring extensive applications and sufficient theoretical background, it surveys the broad field of applied econometrics--including basic techniques in regression analysis and some of the rich variety of models that are used when the linear model proves inadequate or inappropriate. Includes a substantive review of appropriate matrix algebra, statistical theory, and mathematical statistics. Offers a customized version of LIMDEP and a large number of sample data sets. Computation and Optimization. The Classical Multiple Linear Regression Model--Specification and Estimation. Inference and Prediction. Functional Form, Nonlinearity, and Specification. Large Sample Results and Alternative Estimators for the Classical Regression Model. Nonlinear Regression Models. Nonspherical Disturbances, Generalized Regression and GMM Estimation. Heteroscedasticity. Autocorrelated Disturbances. Models for Panel Data. Systems of Regression Equations. Simultaneous Equations Models. Regressions with Lagged Variables. Time-Series Models. Models with Discrete Dependent Variables. Limited Dependent Variable and Duration Models. A reference for analysts, consultants, and researchers in many fields.

Contents

Introduction.
Matrix Algebra.
Probability and Distribution Theory.
Statistical Inference.
Computation and Optimization.
The Classical Multiple Linear Regression Model: Specification and Estimation.
Inference and Prediction.
Functional Form, Nonlinearity, and Specification.
Large-Sample Results and Alternative Estimators for the Classical Regression Model.
Nonlinear Regression Models.
Nonspherical Disturbances, Generalized Regression, and GMM Estimation.
Heteroscedasticity.
Autocorrelated Disturbances.
Models for Panel Data.
Systems of Regression Equations.
Simultaneous Equations Models.
Regressions with Lagged Variables.
Time-Series Models.
Models with Discrete Dependent Variables.
Limited Dependent Variable and Duration Models.

Appendix A. Data Sets Used in Applications.
Appendix B. Statistical Tables.
References.
Author Index.
Subject Index.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Prentice Hall
Auteur(s)	William W. Greene
Parution	08/01/2002
Édition	4^eme édition
Nb. de pages	1004
Format	19,5 x 24,2
Couverture	Relié
Poids	1755g
Intérieur	Noir et Blanc
EAN13	9780130132970