A Guide to Econometrics / Edition 6

by Peter Kennedy

Overview

This is the perfect (and essential) supplement for all econometrics classes—from a rigorous first undergraduate course, to a first master's, to a PhD course.

• Explains what is going on in textbooks full of proofs and formulas
• Offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts)
• Contains new chapters that cover instrumental variables and computational considerations
• Includes additional information on GMM, nonparametrics, and an introduction to wavelets

Product Details

ISBN-13:	9781405182577
Publisher:	Wiley
Publication date:	02/19/2008
Pages:	608
Product dimensions:	7.40(w) x 9.70(h) x 1.20(d)

About 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.

Table of Contents

Preface x

Dedication xii

1. Introduction 1

2. Criteria for Estimators 11

3. The Classical Linear Regression Model 40

4. Interval Estimation and Hypothesis Testing 51

5. Specification 71

6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 93

7. Violating Assumption Two: Nonzero Expected Disturbance 109

8. Violating Assumption Three: Nonspherical Disturbances 112

9. Violating Assumption Four: Instrumental Variable Estimation 137

10. Violating Assumption Four: Measurement Errors and Autoregression 157

11. Violating Assumption Four: Simultaneous Equations 171

12. Violating Assumption Five: Multicollinearity 192

13. Incorporating Extraneous Information 203

14. The Bayesian Approach 213

15. Dummy Variables 232

16. Qualitative Dependent Variables 241

17. Limited Dependent Variables 262

18. Panel Data 281

19. Time Series Econometrics 296

20. Forecasting 331

21. Robust Estimation 345

22. Applied Econometrics 361

23. Computational Considerations 385

Appendix A: Sampling Distributions, the Foundation of Statistics 403

Appendix B: All about Variance 407

Appendix C: A Primer on Asymptotics 412

Appendix D: Exercises 417

Appendix E: Answers to Even-numbered Questions 479

Glossary 503

Bibliography 511

Name Index 563

Subject Index 573

What People are Saying About This

T.H. Gindling

This revised version is a worthy successor to the fourth edition, which was already the most useful applied econometrics book on the market. It is an excellent complement to standard econometrics textbooks, which tend to be heavy on mathematics and technique, and light on practical advice.

From the Publisher

"Peter Kennedy's Guide to Econometrics is a superb text. I first used it as a student, and now I find it indispensable as a professor. I would not dream of teaching an econometrics course without it."—Lisa A. Keister, Department of Sociology, The Ohio State University

"*A Guide to Econometrics* is an excellent book that is, or at least should be, essential reading for all undergraduate and graduate students with an interest in the subject, as well as scholars engaged in applied econometric work."—Anders Olofsgård, Georgetown University

"This revised version is a worthy successor to the fourth edition, which was already the most useful applied econometrics book on the market. It is an excellent complement to standard econometrics textbooks, which tend to be heavy on mathematics and technique, and light on practical advice."—T.H. Gindling,Department of Economics, University of Maryland Baltimore County

"This has been an excellent book in the past and the revisions for the fifth edition include some new subjects and bring the material up to date. The text is clearly written and shows the author's excellent understanding of the material covered. And his clever insights and witty comments make the book fun to read."—Jan Kmenta, Professor Emeritus of Economics, University of Michigan

Endorsement

This has been an excellent book in the past and the revisions for the fifth edition include some new subjects and bring the material up to date. The text is clearly written and shows the author's excellent understanding of the material covered. And his clever insights and witty comments make the book fun to read.—Jan Kmenta, Professor Emeritus of Economics, University of Michigan

Jan Kmenta

This has been an excellent book in the past and the revisions for the fifth edition include some new subjects and bring the material up to date. The text is clearly written and shows the author's excellent understanding of the material covered. And his clever insights and witty comments make the book fun to read.

Lisa A. Keister

Peter Kennedy's A Guide to Econometrics is a superb text. I first used it as a student, and now I find it indispensable as a professor. I would not dream of teaching an econometrics course without it.

Editorial Reviews

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)

From the Publisher