The Theory and Practice of Econometrics

by Judge, George G.; Griffiths, William E.; Hill, R. Carter; Lütkepohl, Helmut; Lee, Tsoung-Chao

• ISBN13: 9780471895305
• ISBN10: 047189530X
• Edition: 2nd
• Format: Hardcover
• Copyright: 1991-01-16
• Publisher: Wiley

Summary

This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.

Author Biography

George Judge is an American econometrician and Professor in the Graduate School in the Department of Agricultural and Resource Economics located in the UC Berkeley College of Natural Resources. William E. Griffiths is the author of The Theory and Practice of Econometrics, 2nd Edition, published by Wiley.

Table of Contents

SAMPLING THEORY AND BAYESIAN APPROACHES TO INFERENCE.

The Classical Inference Approach for the General Linear Model.

Statistical Decision Theory and Biased Estimation.

The Bayesian Approach to Inference.

INFERENCE IN GENERAL STATISTICAL MODELS AND TIME SERIES.

Some Asymptotic Theory and Other General Results for the Linear Statistical Model.

Nonlinear Statistical Models.

Time Series.

DYNAMIC SPECIFICATIONS.

Autocorrelation.

Finite Distributed Lags.

Infinite Distributed Lags.

SOME ALTERNATIVE COVARIANCE STRUCTURES.

Heteroskedasticity.

Disturbance-Related Sets of Regression Equations.

Inference in Models that Combine Time Series and Cross-Sectional Data.

INFERENCE IN SIMULTANEOUS EQUATION MODELS.

Specification and Identification in Simultaneous Equation Models.

Estimation and Inference in a System of Simultaneous Equations.

Multiple Time Series and Systems of Dynamic Simultaneous Equations.

FURTHER MODEL EXTENSIONS.

Unobservable Variables.

Qualitative and Limited Dependent Variable Models.

Varying and Random Coefficient Models.

Non-Normal Disturbances.

On Selecting the Set of Aggressors.

Multicollinearity.

Appendices.