A Guide to Econometrics / Edition 6

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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. It explains what is going on in textbooks full of proofs and formulas. Kennedy's A Guide to Econometrics offers intuition, skepticism, insights, humor, and practical advice (do's and don'ts). The 6E contains new chapters on instrumental variables and on computation considerations, more information on GMM and nonparametrics, and an introduction to wavelets.

About the Author:
Peter Kennedy is Professor of Economics at Simon Fraser University

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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: 9781405182584
  • Publisher: Wiley
  • Publication date: 2/25/2008
  • Edition description: REV
  • Edition number: 6
  • Pages: 600
  • Product dimensions: 7.80 (w) x 10.10 (h) x 1.33 (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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