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Maddala G.S. Ч Introduction to Econometrics
Maddala G.S. Ч Introduction to Econometrics

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Ќазвание: Introduction to Econometrics

јвтор: Maddala G.S.


Introduction to Econometrics has been significantly revised to include new developments in the field. The previous editions of this text were renowned for Maddala's clear exposition and the presentation of concepts in an easily accessible manner.
* New chapters have been included on panel data analysis, large sample inference and small sample inference
* Chapter 14 Unit Roots and Cointegration has been rewritten to reflect recent developments in the Dickey-Fuller (DF), the Augmented Dickey-Fuller (ADF) tests and the Johansen procedure
* A selection of data sets and the instructor's manual for the book can be found on our web site Comments on the previous edition: "Maddala is an outstanding econometrician who has a deep understaning of the use and potential abuse of econometrics... The strengths of the Maddala book are its simplicity, its accessibility and the large number of examples the book contains... The second edition is well written and the chapters are focused and easy to follow from beginning to end. Maddala has an oustanding grasp of the issues, and the level of mathematics and statistics is appropriate as well."

язык: en

–убрика: Ёкономика и финансы/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

»здание: second edition

√од издани€: 1992

 оличество страниц: 631

ƒобавлена в каталог: 09.03.2006

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
ѕредметный указатель
Adaptive expectations model      409Ч412
Adjusted $R^{2}((\bar{R})^{2})$      166Ч168
Akaike's information criterion (AIC)      500Ч501
Almon lag      424Ч427
Alternative functional forms      96Ч98
Amemiya's PC criterion      498
Analysis of variance      84 156Ч157
Anscombe's test for heteroskedasticity      204
ARCH model      264Ч265 478
ARIMA models      538Ч541
Asymptotic unbiasedness      25
Asymptotic variance      26
Autocorrelation Berenblut Ч Webb test      246
Autocorrelation caused by omitted variables      253
Autocorrelation Cochrane Ч Orcutt procedure      239
Autocorrelation Durbin Ч Watson test      230
Autocorrelation Durbin's alternative test      249
Autocorrelation Durbin's h-test      249
Autocorrelation effect on OLS estimators      241Ч244
Autocorrelation estimation in levels vs. first differences      232Ч233
Autocorrelation estimation with AR(1) errors      237
Autocorrelation extensions of DW tables      247
Autocorrelation function      528
Autocorrelation grid search methods      239
Autocorrelation in rational expectations models      443Ч444
Autocorrelation LM test      250
Autocorrelation Sargan's test      255
Autocorrelation von Neumann ratio      245
Autocorrelation with dummy variables      321Ч322
Autoregressive form of adaptive expectations model      411
Autoregressive processes      533Ч535
Bayes' theorem      15 503
Bayesian inference      21Ч22
Bayesian posterior odds      503Ч505
Berenblut Ч Webb test      246
Bivariate normal distribution      104Ч105
BLUE property of least squares estimators      114Ч115
BM test      222
Bounded influence estimation      488
Box Ч Cox test      221
Box Ч Jenkins methods      542Ч549
Breusch and Pagan test      207Ч209
Cagan's model, estimation      413Ч415
Causality      393Ч394
Causation in regression      75Ч76
Censored regression model      339Ч342
Chi-square distribution      20
Cointegrating regression      590Ч591
Cointegration      262 588 589
Cointegration and error correction models      597
Cointegration and vector autoregressions      592Ч597
Cointegration tests      598Ч600
Condition number (in multicollinearity)      275
Conditional probability      14
Confidence intervals defined      27Ч28 79Ч80
Confidence intervals joint and separate intervals      138Ч139
Confidence intervals relationship with testing of hypotheses      32Ч33
Consistency      24
Correlations relationships with t-ratios      145Ч147
Correlations simple, partial, and multiple      147Ч148
Correlogram      528
Cramer's rule      50
Cross-validation      504
Davidson and MacKinnon's J-test      515Ч516
Deletion of variables pitfalls in using t-ratios      168
Deletion of variables use of F-ratios      167
Determinants      44Ч47
Detrending      258Ч259
DFFITS criterion for outliers      487Ч488
Diagnostic checking      476
Dickey Ч Fuller test      259 583
Disproportionate sampling      330Ч331
Distributed lags      408Ч412
Dropping variables dummy dependent variables      322Ч338
Dropping variables for changes in slopes      313Ч315
Dropping variables for cross-equation constraints      315Ч317
Dropping variables for predictions and standard errors of prediction      319Ч320
Dropping variables for testing stability      318Ч319
Dropping variables in multicollinearity      289Ч291
Dropping variables linear discriminant function      325Ч326
Dropping variables linear probability model      323Ч325
Dropping variables logit model      327Ч329
Dropping variables measures of $R^{2}$      333Ч334
Dropping variables probit model      327Ч329
Dropping variables under heteroskedasticity and autocorrelation      321Ч322
Dropping variables use of F-ratios      167Ч168 500Ч503
DSP model      259
Dummy variables for changes in intercepts      307Ч312
Econometrics aims and methodology      4Ч7
Econometrics definition      1Ч2
Econometrics tests of economic theories      7
Econometrics types of models      2Ч4
Encompassing test      517
Endogenous variables      357
Error correction models      420 597
Errors in variables classical model      449Ч450
Errors in variables correlated errors      470
Errors in variables general model      451Ч458
Errors in variables grouping methods      463
Errors in variables Hausman's test for errors in variables      508
Errors in variables instrumental variable methods      461Ч462
Errors in variables Krasker Ч Pratt criterion      467
Errors in variables multiple equations      469
Errors in variables proxy variables      464Ч466
Errors in variables reverse regression      459Ч461
Estimation asymptotic variance      25
Estimation BLUE property of least squares      114Ч 115
Estimation consistency      24
Estimation efficiency      24
Estimation interval estimation      27Ч28
Estimation method of least squares      69Ч72 130Ч132
Estimation method of maximum likelihood (ML)      118
Estimation method of moments      66
Estimation point estimation      22Ч26
Estimation unbiasedness      23
Estimator properties asymptotic unbiasedness      25
Exogeneity defined      390Ч391
Exogeneity relationship with causality      394
Exogeneity test for exogeneity      395
Exogenous variables      357
Expectations adaptive expectations      408Ч410
Expectations model-consistent expectations      433
Expectations naive models      406Ч408
Expectations, expectations and adjustment lags      415
Expectations, rational expectations      431Ч433
Expectations, sufficient expectations      433
Extraneous estimators      293
F-distribution      21
F-ratios implied by different criteria for model selection      500Ч503
F-ratios relationship to higher      2 167Ч168
Generalized least squares      212Ч213 227 238
Glejser's test      204
Goldfeld Ч Quandt test      206
Goodness of fit      131 332Ч334 369 540Ч541 550Ч552
Granger casuality      393
Granger's test      393
Grid-search method      239
Grouping methods      463
Hausman's test      506Ч509
Hendry's approach to model construction      494Ч495
Heteroskedasticity Anscombe's test      204
Heteroskedasticity Breusch and Pagan test      207Ч209
Heteroskedasticity consequences      209Ч211
Heteroskedasticity deflators      215Ч217
Heteroskedasticity estimation of correct variance      211
Heteroskedasticity Glejser's test      204
Heteroskedasticity Goldfeld and Quandt test      206
Heteroskedasticity likelihood ratio test      206
Heteroskedasticity maximum likelihood method      213
Heteroskedasticity Ramsey's RESET test      204
Heteroskedasticity weighted least squares      212Ч213
Heteroskedasticity White's test      204
Hocking's $S_{p}$ criterion      498Ч499
Hypothesis testing general theory      27Ч32
Hypothesis testing relationship with confidence intervals      32Ч33
Idempotent matrices      55
Identification necessary and sufficient conditions      363Ч364
Identification through reduced form      358Ч360
Identification Working's concept.      385
Inference classical      22Ч26
Inference multiple regression      134Ч135
Inference simple regression      76Ч78
Instrumental variables      112 367Ч369 461Ч462
Inverse of a matrix      48
Inverse prediction      101Ч102
Irrelevant variables      164Ч165
J-test      515Ч516
Joint and separate confidence intervals      139
Joint, marginal, and conditional distributions      18
Koyck model estimation in autoregressive form      411
Koyck model estimation in distribution lag form      412
Lagrangian multiplier (LM) test      119Ч124 177 251
Levels vs. first differences      232Ч234 259Ч263
Likelihood ratio (LR) test      119Ч124 206
Limited information maximum likelihood (LIML)      381
Limiting distribution      25
Linear and quadratic forms      52
Linear probability (LP) model      323Ч325
Linear vs. log-linear forms      96Ч97 220Ч223
Liu critique      389
Logit model      327Ч329
Lucas critique      389
Mallows' $C_{p}$ criterion      498
Matrix addition      42
Matrix multiplication      43
Methods of estimation generalized least squares      212Ч213 227 238
Methods of estimation indirect least squares      359Ч360
Methods of estimation instrumental variables      112 367Ч369 461Ч462
Methods of estimation least squares      69Ч72 130Ч132
Methods of estimation limited information maximum likelihood (LIML)      381
Methods of estimation maximum likelihood      118
Methods of estimation moments      66
Model selection      492Ч496
Moving average process      531
Multicollinearity condition number      275
Multicollinearity definition      270
Multicollinearity dropping variables      289Ч291
Multicollinearity extraneous estimates      293
Multicollinearity principal component regression      284Ч285
Multicollinearity problems in measuring      276
Multicollinearity ridge regression      281Ч283
Multicollinearity Theil's measure      275
Multiple regression analysis of variance      157
Multiple regression degrees of freedom and R2      165Ч168
Multiple regression inclusion of irrelevant variables      164Ч165
Multiple regression interpretation      143Ч144
Multiple regression omission of relevant variables      161Ч162
Multiple regression partial correlation and multiple correlation      147Ч148
Multiple regression prediction      154Ч155
Multiple regression statistical inference      134Ч135
Multiple regression test for linear functions of parameters      159
Multiple regression tests for stability      170Ч177
Multiple regression tests of hypotheses      156Ч159
Multivariate normal distribution      54
Nonnested hypothesis tests      514Ч518
Normal distribution      19
Normalization in simultaneous equations      377
Omitted variables autocorrelation      253
Omitted variables bias in least squares estimators      161Ч163
Omitted variables DFFITS criterion      487Ч488
Omitted variables illustrated      89Ч95
Omitted variables interpretation of Hausman's test      510Ч 512
Omitted variables test for      477
Orthognal matrices      49
Outliers bounded influence estimation      488
Partial adjustment models      419Ч423
PE test      223
Piecewise regression      185
Polynomial lags      423Ч427
Positive and negative definite matrices      53
Posterior odds for model selection      503-505
Principal component regression      284Ч285
probability      12Ч14
Probability distributions      17Ч21
Probit model      327Ч329
proxy variables      464Ч466
PSW test      513Ч514
Q-statistics      540Ч541
Qualitative variables      see УDummy variablesФ
R-square in dummy dependent variable models      332Ч334
R-square in multiple regression models      131
R-square in simultaneous equation models      369
R-square in time-series models      550
R-square relationship with F-ratios      167Ч168
Ramsey's RESET test      478
Rao's score test      119Ч124
Rational expectations defined      431Ч433
Rational expectations estimation of a demand and supply model      436Ч442
Rational expectations serial correlation problem      443
Rational expectations tests for rationality      434Ч435 599
Rational lags      429
Recursive systems      387
Reduced form      358Ч360
Regression analysis of variance      84 156Ч157
Regression assumptions and specification      65
Regression causation in regression      75Ч76
Regression censored, regression model      339Ч342
Regression cointegrating regression      590Ч591
Regression fallacy      105
Regression interpretation      143Ч145
Regression inverse prediction      101Ч102
Regression irrelevant variables      164Ч165
Regression method of least squares      69Ч71
Regression method of moments      66
Regression outliers      89Ч95
Regression prediction      85 154Ч155 319Ч320
Regression statistical inference      76Ч78 134Ч135
Regression tests of hypotheses      80
Regression truncated regression model      342Ч343
Regression with no constant term      83
Residuals BLUS residuals      483
Residuals predicted residuals      481
Residuals problems with least squares residuals      479Ч480
Residuals recursive residuals      483
Residuals studentized residuals      482
Reverse regression      71Ч72 459Ч461
Ridge regression      281Ч283
Sampling distributions from normal populations      26
Sampling distributions multiple regression      134Ч135
Sampling distributions simple regression      76Ч78
Sargan's test      255
Selection of regressors      496Ч502
Serial correlation in autoregressive models      248
Serial correlation in rational expectations models      443Ч444
Serial correlation in unit root tests      583
Serial correlation LM test      250
Significance levels criticism      32
Significance levels defined      29
Sims' test      394
Specification errors Hausman's test      506Ч509
Specification errors irrelevant variables      164Ч165
Specification errors omitted variables      161Ч162
Specification errors Ramsey's test      478
Specification errors Sargan's test in dynamic models      255
Specification searches      491
Spurious trends      260Ч261
Stationary time-series      527Ч530
Stochastic regressors      126
Structural change and unit roots      587
t-distribution      21
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