A Guide to Modern Econometrics

Marno Verbeek

• Editorial: Wiley
• Año: 2014
• ISBN:
  9781118531082
• Edición: 4
• Categoría: Volkswirtschaftslehre
• Categoría: Ökonometrie

This highly successful text serves as a guide to alternative techniques in econometrics with an emphasis on the practical application of these approaches.

The 4th Edition features:

• Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments.
• Intuitive presentation and discussion, with a focus on implementation and practical relevance.
• A large number of empirical illustrations taken from a wide variety of fields, including international economics, finance, labour economics and macroeconomics.
• Increased focus on robust inference and small sample properties.
• End-of-chapter exercises, both theoretical and empirical, reviewing key concepts.
• Updated and expanded coverage, on various topics such as missing data, outliers, forecast evaluation, the estimation of treatment effects and panel unit root tests.
• Supplementary material, including PowerPoint slides for lecturers, data sets of the empirical illustrations and exercises, and solutions to selected exercises in each chapter, available at
  www.wileyeurope.com/college/verbeek

Índice

• A Guide to Modern Econometrics
• Contents
• Preface
• 1 Introduction
• 2 An Introduction to Linear Regression
• 3 Interpreting and Comparing Regression Models
• 4 Heteroskedasticity and Autocorrelation
• 5 Endogenous Regressors, Instrumental Variables and GMM
• 6 Maximum Likelihood Estimation and Specification Tests
• 7 Models with Limited Dependent Variables
• 8 Univariate Time Series Models
• 9 Multivariate Time Series Models
• 10 Models Based on Panel Data
• A Vectors and Matrices
• B Statistical and Distribution Theory
• Bibliography
• Index