A Guide to Econometrics, 6th Edition

by Kennedy, Peter

• ISBN13: 9781405182577
• ISBN10: 1405182571
• Edition: 6th
• Format: Paperback
• Copyright: 2008-02-19
• Publisher: Wiley
• More Book Details

Summary

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 (do's and don'ts) Contains new chapters that cover instrumental variables and computational considerations Includes additional information on GMM, nonparametrics, and an introduction to wavelets

Author Biography

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.

Table of Contents

Preface	p. x
Dedication	p. xii
Introduction	p. 1
What is Econometrics?	p. 1
The Disturbance Term	p. 2
Estimates and Estimators	p. 4
Good and Preferred Estimators	p. 5
General Notes	p. 6
Technical Notes	p. 10
Criteria for Estimators	p. 11
Introduction	p. 11
Computational Cost	p. 11
Least Squares	p. 12
Highest R[superscript 2]	p. 13
Unbiasedness	p. 14
Efficiency	p. 16
Mean Square Error	p. 17
Asymptotic Properties	p. 18
Maximum Likelihood	p. 21
Monte Carlo Studies	p. 22
Adding Up	p. 25
General Notes	p. 26
Technical Notes	p. 32
The Classical Linear Regression Model	p. 40
Textbooks as Catalogs	p. 40
The Five Assumptions	p. 41
The OLS Estimator in the CLR Model	p. 43
General Notes	p. 44
Technical Notes	p. 47
Interval Estimation and Hypothesis Testing	p. 51
Introduction	p. 51
Testing a Single Hypothesis: the t Test	p. 51
Testing a Joint Hypothesis: the F Test	p. 52
Interval Estimation for a Parameter Vector	p. 54
LR, W, and LM Statistics	p. 56
Bootstrapping	p. 58
General Notes	p. 59
Technical Notes	p. 67
Specification	p. 71
Introduction	p. 71
Three Methodologies	p. 72
General Principles for Specification	p. 75
Misspecification Tests/Diagnostics	p. 76
R[superscript 2] Again	p. 79
General Notes	p. 81
Technical Notes	p. 89
Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy	p. 93
Introduction	p. 93
Incorrect Set of Independent Variables	p. 93
Nonlinearity	p. 95
Changing Parameter Values	p. 97
General Notes	p. 100
Technical Notes	p. 106
Violating Assumption Two: Nonzero Expected Disturbance	p. 109
General Notes	p. 111
Violating Assumption Three: Nonspherical Disturbances	p. 112
Introduction	p. 112
Consequences of Violation	p. 113
Heteroskedasticity	p. 115
Autocorrelated Disturbances	p. 118
Generalized Method of Moments	p. 122
General Notes	p. 123
Technical Notes	p. 129
Violating Assumption Four: Instrumental Variable Estimation	p. 137
Introduction	p. 137
The IV Estimator	p. 141
IV Issues	p. 144
General Notes	p. 146
Technical Notes	p. 151
Violating Assumption Four: Measurement Errors and Autoregression	p. 157
Errors in Variables	p. 157
Autoregression	p. 160
General Notes	p. 163
Technical Notes	p. 167
Violating Assumption Four: Simultaneous Equations	p. 171
Introduction	p. 171
Identification	p. 173
Single-Equation Methods	p. 176
Systems Methods	p. 180
General Notes	p. 181
Technical Notes	p. 186
Violating Assumption Five: Multicollinearity	p. 192
Introduction	p. 192
Consequences	p. 193
Detecting Multicollinearity	p. 194
What To Do	p. 196
General Notes	p. 198
Technical Notes	p. 202
Incorporating Extraneous Information	p. 203
Introduction	p. 203
Exact Restrictions	p. 203
Stochastic Restrictions	p. 204
Pre-Test Estimators	p. 204
Extraneous Information and MSE	p. 206
General Notes	p. 207
Technical Notes	p. 211
The Bayesian Approach	p. 213
Introduction	p. 213
What is a Bayesian Analysis?	p. 213
Advantages of the Bayesian Approach	p. 216
Overcoming Practitioners' Complaints	p. 217
General Notes	p. 220
Technical Notes	p. 226
Dummy Variables	p. 232
Introduction	p. 232
Interpretation	p. 233
Adding Another Qualitative Variable	p. 234
Interacting with Quantitative Variables	p. 235
Observation-Specific Dummies	p. 236
General Notes	p. 237
Technical Notes	p. 240
Qualitative Dependent Variables	p. 241
Dichotomous Dependent Variables	p. 241
Polychotomous Dependent Variables	p. 244
Ordered Logit/Probit	p. 245
Count Data	p. 246
General Notes	p. 246
Technical Notes	p. 254
Limited Dependent Variables	p. 262
Introduction	p. 262
The Tobit Model	p. 263
Sample Selection	p. 265
Duration Models	p. 267
General Notes	p. 269
Technical Notes	p. 273
Panel Data	p. 281
Introduction	p. 281
Allowing for Different Intercepts	p. 282
Fixed Versus Random Effects	p. 284
Short Run Versus Long Run	p. 286
Long, Narrow Panels	p. 287
General Notes	p. 288
Technical Notes	p. 292
Time Series Econometrics	p. 296
Introduction	p. 296
ARIMA Models	p. 297
VARs	p. 298
Error Correction Models	p. 299
Testing for Unit Roots	p. 301
Cointegration	p. 302
General Notes	p. 304
Technical Notes	p. 314
Forecasting	p. 331
Introduction	p. 331
Causal Forecasting/Econometric Models	p. 332
Time Series Analysis	p. 333
Forecasting Accuracy	p. 334
General Notes	p. 335
Technical Notes	p. 342
Robust Estimation	p. 345
Introduction	p. 345
Outliers and Influential Observations	p. 346
Guarding Against Influential Observations	p. 347
Artificial Neural Networks	p. 349
Nonparametric Estimation	p. 350
General Notes	p. 352
Technical Notes	p. 356
Applied Econometrics	p. 361
Introduction	p. 361
The Ten Commandments of Applied Econometrics	p. 362
Getting the Wrong Sign	p. 368
Common Mistakes	p. 372
What do Practitioners Need to Know?	p. 373
General Notes	p. 374
Technical Notes	p. 383
Computational Considerations	p. 385
Introduction	p. 385
Optimizing via a Computer Search	p. 386
Estimating Integrals via Simulation	p. 388
Drawing Observations from Awkward Distributions	p. 390
General Notes	p. 392
Technical Notes	p. 397
Sampling Distributions, The Foundation of Statistics	p. 403
All About Variance	p. 407
A Primer on Asymptotics	p. 412
Exercises	p. 417
Answers to Even-Numbered Questions	p. 479
Glossary	p. 503
Bibliography	p. 511
Name Index	p. 563
Subject Index	p. 573
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