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Advanced econometric methods

Author: Thomas B Fomby; R Carter Hill; Stanley R Johnson
Publisher: New York : Springer-Verlag, 1988, ©1984.
Edition/Format:   Print book : English : Corr. softcover printView all editions and formats
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Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. Generally, the material  Read more...

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Additional Physical Format: Online version:
Fomby, Thomas B.
Advanced econometric methods.
New York : Springer-Verlag, 1988, ©1984
(OCoLC)647061392
Document Type: Book
All Authors / Contributors: Thomas B Fomby; R Carter Hill; Stanley R Johnson
ISBN: 0387968687 9780387968681 3540968687 9783540968689
OCLC Number: 19115022
Description: xix, 624 pages : illustrations ; 24 cm
Contents: 1 Introduction.- 2 Review of Ordinary Least Squares and Generalized Least Squares.- 3 Point Estimation and Tests of Hypotheses in Small Samples.- 4 Large Sample Point Estimation and Tests of Hypotheses.- 5 Stochastic Regressors.- 6 Use of Prior Information.- 7 Preliminary Test and Stein-Rule Estimators.- 8 Feasible Generalized Least Squares Estimation.- 9 Heteroscedasticity.- 10 Autocorrelation.- 11 Lagged Dependent Variables and Autcorrelation.- 12 Unobservable Variables.- 13 Multicollinearity.- 14 Varying Coefficient Models.- 15 Models That Combine Time-Series and Cross-Section Data.- 16 The Analysis of Models with Qualitative or Censored Dependent Variables.- 17 Distributed Lags.- 18 Uncertainty in Model Specification and Selection.- 19 Introduction to Simultaneous Equations Models.- 20 Identification.- 21 Limited Information Estimation.- 22 Full Information Estimation.- 23 Reduced Form Estimation and Prediction in Simultaneous Equations Models.- 24 Properties of Dynamic Simultaneous Equations Models.- 25 Special Topics in Simultaneous Equations.- Appendix Estimation and Inference in Nonlinear Statistical Models.- A.1 Nonlinear Optimization.- A.1.1 Method of Steepest Ascent.- A.1.2 The Method of Newton.- A.1.3 Method of Quadratic Hill Climbing.- A.1.4 Numerical Differentiation.- A.2 Maximum Likelihood Estimation.- A.2.1 Use of the Method of Newton.- A.2.2 Method of Scoring.- A.2.3 The Method of Berndt, Hall, Hall, and Hausman.- A.2.4 Asymptotic Tests Based on the Maximum Likelihood Method.- A.2.4a The Wald Test.- A.2.4b The Lagrange-Multiplier Test.- A.2.4c The Likelihood Ratio Test Statistic.- A.2.4d Concluding Remarks.- A.3 Nonlinear Regression.- A.4 Summary and Guide to Further Readings.- A.5 References.
Responsibility: Thomas B. Fomby, R. Carter Hill, Stanley R. Johnson.
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