Download PDF by Badi H. Baltagi: A Companion to Theoretical Econometrics

By Badi H. Baltagi

ISBN-10: 063121254X

ISBN-13: 9780631212546

A significant other to Theoretical Econometrics offers a complete connection with the fundamentals of econometrics. This significant other specializes in the principles of the sphere and while integrates well known subject matters usually encountered by way of practitioners. The chapters are written through foreign specialists and supply updated learn in components no longer often coated by way of usual econometric texts.

  • Focuses at the foundations of econometrics.
  • Integrates real-world issues encountered by way of execs and practitioners.
  • Draws on updated examine in parts no longer coated by means of ordinary econometrics texts.
  • Organized to supply transparent, obtainable info and aspect to extra readings.

Show description

Read or Download A Companion to Theoretical Econometrics PDF

Similar econometrics books

New PDF release: Introduction to Econometrics (3rd Edition)

Creation to Econometrics offers scholars with transparent and straightforward arithmetic notation and step-by step motives of mathematical proofs to provide them a radical knowing of the topic. large routines are integrated all through to inspire scholars to use the thoughts and construct self belief.

New PDF release: A Companion to Theoretical Econometrics

A spouse to Theoretical Econometrics offers a finished connection with the fundamentals of econometrics. This significant other makes a speciality of the principles of the sector and while integrates well known subject matters usually encountered by means of practitioners. The chapters are written through overseas specialists and supply up to date study in components no longer often lined via ordinary econometric texts.

Madhusudan Ghosh's Liberalization, Growth and Regional Disparities in India PDF

Upon the backdrop of extraordinary development made via the Indian financial system over the past twenty years after the large-scale fiscal reforms within the early Nineteen Nineties, this booklet evaluates the functionality of the financial system on a few source of revenue and non-income dimensions of improvement on the nationwide, nation and sectoral degrees.

Download PDF by Gilles Dufrénot: Recent Developments in Nonlinear Cointegration with

This e-book is an introductory exposition of other themes that emerged within the literature as unifying topics among fields of econometrics of time sequence, particularly nonlinearity and nonstationarity. Papers on those subject matters have exploded over the past twenty years, yet they're not often ex­ amined jointly.

Additional info for A Companion to Theoretical Econometrics

Sample text

37) provides an estimator of var(S), which can be used in place of the usual estimator, s2(t‫ׅ‬t)−1. Like the latter, this heteroskedasticity-consistent covariance matrix estimator, or HCCME, can be computed by means of an artificial regression. We will refer to this regression as the heteroskedasticity-robust Gauss–Newton regression, or HRGNR. 30 R. G. MACKINNON In order to derive the HRGNR, it is convenient to begin with a linear regression model y = Xβ + u, and to consider the criterion function Q(β) = 1 2 (y − Xβ)‫ׅ‬X(X‫ׅ‬ΩX)−1X‫(ׅ‬y − Xβ).

Such a quadratic form follows the χ2(r) distribution. n ARTIFICIAL REGRESSIONS 25 Remarks. 24) s = q1b1 + q2b2 + residuals. 25): 51s = 51q2b2 + residuals. 23), or statistics asymptotically equivalent to it. 26) which works because the denominator tends to a probability limit of 1 as n → ∞. This statistic is, of course, in F rather than χ2 form. Another frequently used test statistic is available if Q is actually the vector of restricted estimates, that is, the estimator that minimizes the criterion function when the restriction that θ2 = 0 is imposed.

Journal of the American Statistical Association 85, 220–7. G. MacKinnon (1992). A new form of the information matrix test. Econometrica 60, 145–57. G. MacKinnon (1993). Estimation and Inference in Econometrics. New York: Oxford University Press. G. MacKinnon (1999). Bootstrap testing in nonlinear models. International Economic Review 40, 487–508. , and T. Stengos (1994). Semiparametric specification testing of non-nested econometric models. Review of Economic Studies 61, 291–303. F. (1984). Wald, Likelihood Ratio and Lagrange Multiplier Tests in Econometrics.

Download PDF sample

A Companion to Theoretical Econometrics by Badi H. Baltagi


by Daniel
4.0

Rated 4.52 of 5 – based on 28 votes