Davidson, Russell.
Estimation and inference in econometrics / Russell Davidson, James G. MacKinnon. - New York : Oxford University Press, 1993. - xx, 874 p. : ill. ; 25 cm.
Includes bibliographical references (p. 812-850) and indexes.
The Geometry of Least Squares -- Nonlinear Regression Models and Nonlinear Least Squares -- Inference in Nonlinear Regression Models -- Introduction to Asymptotic Theory and Methods -- Asymptotic Methods and Nonlinear Least Squares -- The Gauss-Newton Regression -- Instrumental Variables -- The Method of Maximum Likelihood -- Maximum Likelihood and Generalized Least Squares -- Serial Correlation -- Tests Based on the Gauss-Newton Regression -- Interpreting Tests in Regression Directions -- The Classical Hypothesis Tests -- Transforming the Dependent Variable -- Qualitative and Limited Dependent Variables -- Heteroskedasticity and Related Topics -- The Generalized Method of Moments -- Simultaneous Equations Models -- Regression Models for Time-Series Data -- Unit Roots and Cointegration -- Monte Carlo Experiments -- App. A: Matrix Algebra -- App. B: Results from Probability Theory. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21.
0195060119 (acidfree paper)
92012048
GB93-39580
Econometrics.
Econometrics
HB139 / .D368 1993
330.015195 / DAE
Estimation and inference in econometrics / Russell Davidson, James G. MacKinnon. - New York : Oxford University Press, 1993. - xx, 874 p. : ill. ; 25 cm.
Includes bibliographical references (p. 812-850) and indexes.
The Geometry of Least Squares -- Nonlinear Regression Models and Nonlinear Least Squares -- Inference in Nonlinear Regression Models -- Introduction to Asymptotic Theory and Methods -- Asymptotic Methods and Nonlinear Least Squares -- The Gauss-Newton Regression -- Instrumental Variables -- The Method of Maximum Likelihood -- Maximum Likelihood and Generalized Least Squares -- Serial Correlation -- Tests Based on the Gauss-Newton Regression -- Interpreting Tests in Regression Directions -- The Classical Hypothesis Tests -- Transforming the Dependent Variable -- Qualitative and Limited Dependent Variables -- Heteroskedasticity and Related Topics -- The Generalized Method of Moments -- Simultaneous Equations Models -- Regression Models for Time-Series Data -- Unit Roots and Cointegration -- Monte Carlo Experiments -- App. A: Matrix Algebra -- App. B: Results from Probability Theory. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21.
0195060119 (acidfree paper)
92012048
GB93-39580
Econometrics.
Econometrics
HB139 / .D368 1993
330.015195 / DAE