A Guide to Econometrics / Edition 5

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Overview

A Guide to Econometrics has established itself as a preferred text for teachers and students throughout the world. It provides an overview of the subject and an intuitive feel for its concepts and techniques without the notation and technical detail that characterize most econometrics textbooks.The fifth edition has two major additions, a chapter on panel data and an innovative chapter on applied econometrics. Existing chapters have been revised and updated extensively, particularly the specification chapter (to coordinate with the applied econometrics chapter), the qualitative dependent variables chapter (to better explain the difference between multinomial and conditional logit), the limited dependent variables chapter (to provide a better interpretation of Tobit estimation), and the time series chapter (to incorporate the vector autoregression discussion from the simultaneous equations chapter and to explain more fully estimation of vector error correction models). Several new exercises have been added, some of which form new sections on bootstrapping and on applied econometrics.This edition is for sale in all of the Americas, the West Indies, and U.S. dependencies only.

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Editorial Reviews

From the Publisher
“The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. It holds a unique position among econometric texts. Highly recommended.” (Choice, November 2008)
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Product Details

  • ISBN-13: 9780262611831
  • Publisher: MIT Press
  • Publication date: 9/1/2003
  • Edition description: fifth edition
  • Edition number: 5
  • Pages: 500
  • Sales rank: 1,391,771
  • Product dimensions: 6.00 (w) x 9.00 (h) x 1.50 (d)

Meet the Author

Peter Kennedy is Professor of Economics at Simon Fraser University. In addition to A Guide to Econometrics, he is author of Macroeconomic Essentials: Understanding Economics in the News, 2e (2000), and is Associate Editor of the International Journal of Forecasting, the Journal of Economic Education, and Economics Bulletin.
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Table of Contents

Preface
Dedication
1 Introduction 1
2 Criteria for Estimators 11
3 The Classical Linear Regression Model 47
4 Interval Estimation and Hypothesis Testing 60
5 Specification 81
6 Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 107
7 Violating Assumption Two: Nonzero Expected Disturbance 129
8 Violating Assumption Three: Nonspherical Disturbances 133
9 Violating Assumption Four: Measurement Errors and Autoregression 157
10 Violating Assumption Four: Simultaneous Equations 180
11 Violating Assumption Five: Multicollinearity 205
12 Incorporating Extraneous Information 218
13 The Bayesian Approach 230
14 Dummy Variables 248
15 Qualitative Dependent Variables 259
16 Limited Dependent Variables 281
17 Panel Data 301
18 Time Series Econometrics 319
19 Forecasting 358
20 Robust Estimation 372
21 Applied Economectrics 389
App. A Sampling Distributions, the Foundation of Statistics 418
App. B All about Variance 423
App. C A Primer on Asymptotics 429
App. D Exercises 436
App. E Answers to Even-numbered Questions 516
Glossary 544
Bibliography 550
Name Index 601
Subject Index 610
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