Principles of Econometrics / Edition 4

Hardcover (Print)
Rent from
(Save 75%)
Est. Return Date: 07/05/2015
Buy Used
Buy Used from
(Save 40%)
Item is in good condition but packaging may have signs of shelf wear/aging or torn packaging.
Condition: Used – Good details
Used and New from Other Sellers
Used and New from Other Sellers
from $95.00
Usually ships in 1-2 business days
(Save 61%)
Other sellers (Hardcover)
  • All (14) from $95.00   
  • New (7) from $171.33   
  • Used (7) from $95.00   

More About This Textbook


Designed to arm finance professionals with an understanding of why econometrics is necessary, this book also provides them with a working knowledge of basic econometric tools. The fourth edition has been thoroughly updated to reflect the current state of economic and financial markets. New discussions are presented on Kennel Density Fitting and the analysis of treatment effects. A new summary of probability and statistics has been added. In addition, numerous new end-of-chapter questions and problems have been integrated throughout the chapters. This will help finance professionals apply basic econometric tools to modeling, estimation, inference, and forecasting through real world problems.

Read More Show Less

Product Details

  • ISBN-13: 9780470626733
  • Publisher: Wiley
  • Publication date: 1/4/2011
  • Edition description: New Edition
  • Edition number: 4
  • Pages: 758
  • Sales rank: 851,515
  • Product dimensions: 7.20 (w) x 10.00 (h) x 1.30 (d)

Table of Contents


Chapter 1 An Introduction to Econometrics.

1.1 Why Study Econometrics?

1.2 What Is Econometrics About?

1.3 The Econometric Model.

1.4 How Are Data Generated?

1.5 Economic Data Types.

1.6 The Research Process.

1.7 Writing An Empirical Research Paper.

1.8 Sources of Economic Data.

Probability Primer.

P.1 Random Variables.

P.2 Probability Distributions.

P.3 Joint, Marginal, and Conditional Probabilities.

P.4 A Digression: Summation Notation.

P.5 Properties of Probability Distributions.

P.6 The Normal Distribution.

P.7 Exercises.

Chapter 2 The Simple Linear Regression Model.

2.1 An Economic Model.

2.2 An Econometric Model.

2.3 Estimating the Regression Parameters.

2.4 Assessing the Least Squares Estimators.

2.5 The Gauss-Markov Theorem.

2.6 The Probability Distributions of the Least SquaresEstimators.

2.7 Estimating the Variance of the Error Term.

2.8 Estimating Nonlinear Relationships.

2.9 Regression with Indicator Variables.

2.10 Exercises.

Chapter 3 Interval Estimation and Hypothesis Testing.

3.1 Interval Estimation.

3.2 Hypothesis Tests.

3.3 Rejection Regions for Specific Alternatives.

3.4 Examples of Hypothesis Tests.

3.5 The p-Value.

3.6 Linear Combinations of Parameters.

3.7 Exercises.

Chapter 4 Prediction, Goodness-of-Fit, and ModelingIssues.

4.1 Least Squares Prediction.

4.2 Measuring Goodness-of-Fit.

4.3 Modeling Issues.

4.4 Modeling Issues.

4.4 Polynomial Models.

4.5 Log-Linear Models.

4.6 Log-Log Models.

4.7 Exercises.

Chapter 5 The Multiple Regression Model.

5.1 Introduction.

5.2 Estimating the Parameters of the Multiple RegressionModel.

5.3 Sampling Properties of the Least Squares Estimator.

5.4 Interval Estimation.

5.5 Hypothesis Testing.

5.6 Polynomial Equations.

5.7 Interaction Variables.

5.8 Measuring Goodness-of-Fit.

5.9 Exercises.

Chapter 6 Further Inference in the Multiple RegressionModel.

6.1 Testing Joint Hypotheses.

6.2 The Use of Nonsample Information.

6.3 Model Specification.

6.4 Poor Data, Collinearity, and Insignificance.

6.5 Prediction.

6.6 Exercises.

Chapter 7 Using Indicator Variables.

7.1 Indicator Variables.

7.2 Applying Indicator Variables.

7.3 Log-Linear Models.

7.4 The Linear Probability Model.

7.5 Treatment Effects.

7.6 Exercises.

Chapter 8 Heteroskedasticity.

8.1 The Nature of Heteroskedasticity.

8.2 Detecting Heteroskedasticity.

8.3 Heteroskedasticity-Consistent Standard Errors.

8.4 Generalized Least Squares: Known Form of Variance.

8.5 Generalized Least Squares: Unknown Form of Variance.

8.6 Heteroskedasticity in the Linear Probability Model.

8.7 Exercises.

Chapter 9 Regression with Time-Series Data: StationaryVariables.

9.1 Introduction.

9.2 Finite Distributed Lags.

9.3 Serial Correlation.

9.4 Other Tests for Serially Correlated Errors.

9.5 Estimation with Serially Correlated Errors.

9.6 Autoregressive Distributed Lag Models.

9.7 Forecasting.

9.8 Multiplier Analysis.

9.9 Exercises.

Chapter 10 Random Regressors and Moment-BasedEstimation.

10.1 Linear Regression with Random x's.

10.2 Cases in which x and e Are Correlated.

10.3 Estimators Based on the Method of Moments.

10.4 Specification Tests.

10.5 Exercises.

Chapter 11 Simultaneous Equations Models.

11.1 A Supply and Demand Model.

11.2 The Reduced-Form Equations.

11.3 The Failure of Least Squares Estimation,

11.4 The Identification Problem.

11.5 Two-Stage Least Squares Estimation.

11.6 An Example of Two-Stage Least Squares Estimation.

11.7 Supply and Demand at the Fulton Fish Demand.

11.8 Exercises.

Chapter 12 Regression with Time-Series Data: NonstationaryVariables.

12.1 Stationary and Nonstationary Variables.

12.2 Spurious Regressions.

12.3 Unit Root Tests for Stationarity.

12.4 Cointegration.

12.5 Regression When There Is No Cointegration.

12.6 Exercises.

Chapter 13 Vector Error Correction and Vector AutoregressiveModels.

13.1 VEC and VAR Models.

13.2 Estimating a Vector Error Correction Model.

13.3 Estimating a VAR Model.

13.4 Impulse Responses and Variance Decompositions.

13.5 Exercises.

Chapter 14 Time-Varying Volatility and ARCH Models.

14.1 The ARCH Model.

14.2 Time-Varying Volatility.

14.3 Testing. Estimating, and Forecasting.

14.4 Extensions.

14.5 Exercises.

Chapter 15 Panel Data Models.

15.1 A Microeconomic Panel.

15.2 Pooled Model.

15.3 The Fixed Effects Model.

15.4 The Random Effects Model.

15.5 Comparing Fixed and Random Effects Estimators.

15.6 The Hausman-Taylor Estimator.

15.7 Sets of Regression Equations.

15.8 Exercises.

Chapter 16 Qualitative and Limited Dependent VariableModels.

16.1 Models with Binary Dependent Variables.

16.2 The Logit Model for Binary Choice.

16.3 Multinomial Logit.

16.4 Conditional Logit.

16.5 Ordered Choice Models.

16.6 Models for Count Data.

16.7 Limited Dependent Variable Models.

16.8 Exercises.

Appendix A Mathematical Tools.

Appendix B Probability Concepts.

Appendix C Review of Statistical Inference.

Appendix D.


Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)