This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course.
- Explains what is going on in textbooks full of proofs and formulas
- Offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts)
- Contains new chapters that cover instrumental variables and computational considerations
- Includes additional information on GMM, nonparametrics, and an introduction to wavelets
Table of Contents:
Preface x
Dedication xii
1. Introduction 1
2. Criteria for Estimators 11
3. The Classical Linear Regression Model 40
4. Interval Estimation and Hypothesis Testing 51
5. Specification 71
6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 93
7. Violating Assumption Two: Nonzero Expected Disturbance 109
8. Violating Assumption Three: Nonspherical Disturbances 112
9. Violating Assumption Four: Instrumental Variable Estimation 137
10. Violating Assumption Four: Measurement Errors and Autoregression 157
11. Violating Assumption Four: Simultaneous Equations 171
12. Violating Assumption Five: Multicollinearity 192
13. Incorporating Extraneous Information 203
14. The Bayesian Approach 213
15. Dummy Variables 232
16. Qualitative Dependent Variables 241
17. Limited Dependent Variables 262
18. Panel Data 281
19. Time Series Econometrics 296
20. Forecasting 331
21. Robust Estimation 345
22. Applied Econometrics 361
23. Computational Considerations 385
Appendix A: Sampling Distributions, the Foundation of Statistics 403
Appendix B: All about Variance 407
Appendix C: A Primer on Asymptotics 412
Appendix D: Exercises 417
Appendix E: Answers to Even-numbered Questions 479
Glossary 503
Bibliography 511
Name Index 563
Subject Index 573
About the Author :
Peter Kennedy is Professor of Economics at Simon Fraser University. In addition to A Guide to Econometrics, he is author of Macroeconomic Essentials: Understanding Economics in the News, 2e (2000), and is Associate Editor of the International Journal of Forecasting, the Journal of Economic Education, and Economics Bulletin.
Review :
“The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. It holds a unique position among econometric texts. Highly recommended.” (Choice, November 2008)
