Introduction to Econometrics

2020/07/17 · 1 citation
Decision Sciences · #Forecasting Techniques and Applications

paper · doi:10.1142/9789811220197_0001

openalex publication_date 2020/07/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Abstract

Foreword. Preface to the Second Edition. Preface to the Third Edition. Obituary. INTRODUCTION AND THE LINEAR REGRESSION MODEL. What is Econometrics? Statistical Background and Matrix Algebra. Simple Regression. *Multiple Regression. VIOLATION OF THE ASSUMPTIONS OF THE BASIC MODEL. *Heteroskedasticity. *Autocorrelation. Multicollinearity. *Dummy Variables and Truncated Variables. Simultaneous Equations Models. Nonlinear Regression, Models of Expectations, and Nonnormality. Errors in Variables. SPECIAL TOPICS. Diagnostic Checking, Model Selection, and Specification Testing. *Introduction to Time--Series Analysis. Vector Autoregressions, Unit Roots, and Cointegration. *Panel Data Analysis. *Large--Sample Theory. *Small--Sample Inference: Resampling Methods. Appendix A: *Data Sets. Appendix B:* Data Sets on the Web. Appendix C:* Computer Programs. Index.

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