An Introduction to Classical Econometric Theory
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An Introduction to Classical Econometric Theory

An Introduction to Classical Econometric Theory


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About the Book

This book is designed to fill the gap between introductory undergraduate texts and advanced texts for graduate students. Its comprehensive coverage ensures that readers understand both the 'how' and the 'why' of econometrics, as it explains not only the mathematical techniques for econometric problem-solving but also the mathematical foundations of the discipline. Developed with careful pedagogical methodology throughout, the text makes full use of empirical examples and includes appendices providing 'ready reference' and refresher courses on basic mathematics, as well as further material for the more advanced student.

Table of Contents:
Introduction I. Ordinary Least Squares 1: The Least Squares Linear Fit 2: The Geometry of Least Squares 3: Partitioned Fit 4: Restricted Least Squares 5: Overview ofc Ordinary Least Squares II. Linear Regression 6: Linear Unbiased Estimation 7: Variances and Covariances 8: Variances and Covariances of OLS 9: Efficient Estimation 10: Normal Distribution Theory 11: Hypothesis Testing 12: Overview of Linear Regression III. Generalizations of the Linear Model 13: Non-Normal Distribution Theory 14: Maximum Likelihood Estimation 15: ML Asymptotics 16: ML Computation 17: ML Statistical Inference 18: Heteroskedasticity 19: Serial Correlation 20: IV Estimation 21: The Generalized Method of Moments 22: GMM Hypothesis Tests 23: Overview IV. Latent Variable Models 24: Panel Data Models 25: ARMA Time Series Models 26: Simultaneous Equations 27: Discrete Dependent Variables 28: Censored and Truncated Variables 29: Overview V. Appendices A: Abbreviations and Acronyms B: Notation C: Linear Algebra and Matrix Theory D: Probability E: Classical Studies F: Noncentral Distributions G: Multivariate Differentiation H: Characteristic Functions

Review :
"A number of interesting topics found here are common in backroom talk but are not as easily found treated systematically as they are here."--David A. Belsley, Boston College "The author provides an elegant, unified presentation of the material which forms the core of econometrics."--Richard T. Carson, University of California, San Diego "Ruud is a fine scholar and he is well known as an outstanding teacher. His pedagogical style is certainly evident in the book."--Francis X. Diebold, New York University "This book fills an important need for a clear and precise graduate textbook in econometrics. Its theoretical discussions are first rate and it includes nice empirical examples, making it a useful resource for any graduate student."--Whitney Newey, Massachusetts Institute of Technology "This book has the same breadth of coverage as competing texts, with remarkably clear and compelling explanations and motivation of the theoretical concepts."--James L. Powell, University of California, Berkeley "Paul Ruud's text combines clarity with rigor and is an excellent text for students and professionals alike. The strengths are apparent in every chapter. The author consistently tackles problems in more depth than any other text on the market."--Douglas Steigerwald, University of California, Santa Barbara "The book covers least squares, methods of moments (GMM), and maximum likelihood which are three major frameworks for estimation and inference. Within the subset of chapters relating to each major topic, the key results are developed and given due prominence and subsequently used in further developments."--Pravin K. Trivedi, Indiana University "This textbook is rigorous yet accessible. I believe it is destined to become the standard against which all other econometrics textbooks will be measured. Superb!"--Dr. James J. Jozefowicz, Indiana University of Pennsylvania


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Product Details
  • ISBN-13: 9780195111644
  • Publisher: Oxford University Press Inc
  • Publisher Imprint: Oxford University Press Inc
  • Height: 193 mm
  • No of Pages: 976
  • Weight: 1990 gr
  • ISBN-10: 0195111648
  • Publisher Date: 30 Mar 2000
  • Binding: Hardback
  • Language: English
  • Spine Width: 43 mm
  • Width: 239 mm


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