A Guide to Modern Econometrics by Verbeek, Marno -- Read -- Imperial Library of Trantor

Index

Title Page Copyright Preface Chapter 1: Introduction

1.1 About Econometrics 1.2 The Structure of this Book 1.3 Illustrations and Exercises

Chapter 2: An Introduction to Linear Regression

2.1 Ordinary Least Squares as an Algebraic Tool 2.2 The Linear Regression Model 2.3 Small Sample Properties of the OLS Estimator 2.4 Goodness-of-fit 2.5 Hypothesis Testing 2.6 Asymptotic Properties of the OLS Estimator 2.7 Illustration: The Capital Asset Pricing Model 2.8 Multicollinearity 2.9 Missing Data, Outliers and Influential Observations 2.10 Prediction

Chapter 3: Interpreting and Comparing Regression Models

3.1 Interpreting the Linear Model 3.2 Selecting the Set of Regressors 3.3 Misspecifying the Functional Form 3.4 Illustration: Explaining House Prices 3.5 Illustration: Predicting Stock Index Returns 3.6 Illustration: Explaining Individual Wages

Chapter 4: Heteroskedasticity and Autocorrelation

4.1 Consequences for the OLS Estimator 4.2 Deriving an Alternative Estimator 4.3 Heteroskedasticity 4.4 Testing for Heteroskedasticity 4.5 Illustration: Explaining Labour Demand 4.6 Autocorrelation 4.7 Testing for First-order Autocorrelation 4.8 Illustration: The Demand for Ice Cream 4.9 Alternative Autocorrelation Patterns 4.10 What to do When you Find Autocorrelation? 4.11 Illustration: Risk Premia in Foreign Exchange Markets

Chapter 5: Endogenous Regressors, Instrumental Variables and GMM

Chapter 6: Maximum Likelihood Estimation and Specification Tests

6.1 An Introduction to Maximum Likelihood 6.2 Specification Tests 6.3 Tests in the Normal Linear Regression Model 6.4 Quasi-maximum Likelihood and Moment Conditions Tests

Chapter 7: Models with Limited Dependent Variables

7.1 Binary Choice Models 7.2 Multiresponse Models 7.3 Models for Count Data 7.4 Tobit Models 7.5 Extensions of Tobit Models 7.6 Sample Selection Bias 7.7 Estimating Treatment Effects 7.8 Duration Models

Chapter 8: Univariate Time Series Models

8.1 Introduction 8.2 General ARMA Processes 8.3 Stationarity and Unit Roots 8.4 Testing for Unit Roots 8.5 Illustration: Long-run Purchasing Power Parity (Part 1) 8.6 Estimation of ARMA Models 8.7 Choosing a Model 8.8 Illustration: The Persistence of Inflation 8.9 Predicting with ARMA Models 8.10 Illustration: The Expectations Theory of the Term Structure 8.11 Autoregressive Conditional Heteroskedasticity 8.12 What about Multivariate Models?

Chapter 9: Multivariate Time Series Models

9.1 Dynamic Models with Stationary Variables 9.2 Models with Nonstationary Variables 9.3 Illustration: Long-run Purchasing Power Parity (Part 2) 9.4 Vector Autoregressive Models 9.5 Cointegration: the Multivariate Case 9.6 Illustration: Money Demand and Inflation

Chapter 10: Models Based on Panel Data

10.1 Introduction to Panel Data Modelling 10.2 The Static Linear Model 10.3 Illustration: Explaining Individual Wages 10.4 Dynamic Linear Models 10.5 Illustration: Explaining Capital Structure 10.6 Panel Time Series 10.7 Models with Limited Dependent Variables 10.8 Incomplete Panels and Selection Bias 10.9 Pseudo Panels and Repeated Cross-sections

Appendix A: Vectors and Matrices

A.1 Terminology A.2 Matrix Manipulations A.3 Properties of Matrices and Vectors A.4 Inverse Matrices A.5 Idempotent Matrices A.6 Eigenvalues and Eigenvectors A.7 Differentiation A.8 Some Least Squares Manipulations

Appendix B: Statistical and Distribution Theory

B.1 Discrete Random Variables B.2 Continuous Random Variables B.3 Expectations and Moments B.4 Multivariate Distributions B.5 Conditional Distributions B.6 The Normal Distribution B.7 Related Distributions

Bibliography Index