A Guide to Modern Econometrics / Edition 3

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Overview

"This revised and updated edition of A Guide to Modern Econometrics continues to explore a wide range of topics in modern econometrics by focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical relevance." New material includes Monte Carlo studies, weak instruments, nonstationary panels, count data, duration models and the estimation of treatment effects.
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Editorial Reviews

Booknews
Emphasizing practical applications rather than formulae or formal proofs, this textbook offers intuitive explanations of alternative techniques for empirical research. It describes time series analysis, cointegration, limited dependent variables, panel data analysis, and the generalized method of moments. These processes are illustrated with examples from labor economics, environmental economics, international economics, finance, and macroeconomics. Verbeek teaches econometrics at KU Leuven. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

  • ISBN-13: 9780470517697
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 5/27/2008
  • Edition description: New Edition
  • Edition number: 3
  • Pages: 488
  • Product dimensions: 6.69 (w) x 9.61 (h) x 0.99 (d)

Meet the Author

Marno Verbeek is Professor of Finance at the Rotterdam School of Management and the Econometric Institute of Erasmus University, Rotterdam. He held previous positions at KU Leuven and Tilburg University, and visiting appointments at Trinity College Dublin and Université Panthéon-Assas Paris II. He has published in a wide variety of international journals.

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Read an Excerpt

catalogimages.wiley.com/images/db/pdf/9780470517697.excerpt.pdf
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Table of Contents

Preface
1 Introduction 1
2 An introduction to linear regression 7
3 Interpreting and comparing regression models 51
4 Heteroskedasticity and autocorrelation 79
5 Endogeneity, instrumental variables and GMM 121
6 Maximum likelihood estimation and specification tests 161
7 Models with limited dependent variables 189
8 Univariate time series models 255
9 Multivariate time series models 309
10 Models based on panel data 341
A Vectors and matrices 389
B Statistical and distribution theory 397
Bibliography 409
Index 421
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