Essential Econometric Techniques: A Guide to Concepts and Applications

Cover
Endorsements
Half Title
Title Page
Copyright Page
Contents
1. The Nature of Econometrics
	What Is Econometrics?
	The Econometric Methodology
	Many Applications
	Terms
	Chapter 1 Problems
2. Simple Regression Analysis
	The Basic Idea
	Notation
	The Ordinary Least Squares Technique
	Example: Economic Performance and Corruption
	A Note on Econometric Software
	Terms
	Chapter 2 Problems
	Appendix to Chapter 2
	Deriving the Ordinary Least Squares Estimators
	Algebra of Summation Signs
3. Residual Statistics
	Measures of Goodness-of-Fit
	The Standard Errors of βˆ0 and βˆ1
	Repeated Sampling
	Terms
	Chapter 3 Problems
4. Hypothesis Testing
	Test of Significance
	Confidence Intervals
	Positive Sign Test
	Negative Sign Test
	A Review of the Decision Rules
	Specific Value Test
	Test for r2 = 0
	Probability Values
	Terms
	Chapter 4 Problems
5. Multivariate Regression
	Parameter Estimation in Multivariate Regression
	The Intuition of Multivariate Regression
	The Variance and Standard Errors of the Estimators
	Goodness-of-Fit in Multivariate Regression
	An Illustrative Example with Hypothesis Testing
		Interpretations
	Hypothesis Testing
	Model Specification
	Underspecification
	Overspecification
	Unbiased and Best Estimators
	An Example of Searching for an Appropriate Econometric Model
	Terms
	Chapter 5 Problems
	APPENDIX to Chapter 5
	Deriving the Ordinary Least Squares Estimators with Two Explanatory Variables
	Degrees of Freedom
6. Alternate Functional Forms
	Regression through the Origin
	Units of Measurement and Estimates
	The Double-Log Model
	The Log-Lin Model
	The Lin-Log Model
	The Reciprocal Model
	The Polynomial Model
	Mixing and Matching Alternate Forms
	Finding the Correct Functional Form
	Terms
	Chapter 6 Problems
	Appendix to Chapter 6
	Derivation of βˆ1 with Regression through the Origin
7. Dichotomous Variables
	Dichotomous Variables
	Interactive Terms
	Linear Probability Models
		Interpretations
	Logistic Models
		Interpretations
		Predicting with Logistic Models
	Terms
	Chapter 7 Problems
8. The Classical Linear Regression Model
	The Ordinary Least Squares Estimators Are BLUE
	Linear
	Unbiased
	Best
	The Classical Linear Regression Model
	Terms
	Chapter 8 Problems
	Appendix to Chapter 8
	Proof That βˆ1 Is Unbiased
	Proof That βˆ0 Is Unbiased
	Proof That βˆ1 Is Best
	Proof That βˆ0 Is Best
9. Multicollinearity
	The Nature of Multicollinearity
	Perfect Multicollinearity
	Multicollinearity Defined
	Consequences of Multicollinearity
	Detecting Multicollinearity
	Remedies for Multicollinearity
	Terms
	Chapter 9 Problems
10. Heteroskedasticity
	What Is Heteroskedasticity?
	Consequences of Heteroskedasticity
	Detection
		The Graphical Approach
		The Park Test
		The White Test
	Remedies
		Weighted Least Squares
		Newey-West Standard Errors
	Terms
	Chapter 10 Problems
11. Serial Correlation
	What Is Serial Correlation?
	Consequences of Serial Correlation
	Detection
		The Graphical Approach
		The Durbin-Watson Test
		The Breusch-Godfrey Test
		Testing for Second-Order Serial Correlation
	Remedies
		OLS Technique
		Cochrane-Orcutt Iterative Procedure
		Hildreth-Lu Scanning Procedure
		Maximum Likelihood Procedure
	Final Thoughts
	Terms
	Chapter 11 Problems
12. Time-Series Techniques
	Time-Series Econometrics
	Distributed Lag Models
		The Koyck Model
	Granger Tests
	Spurious Correlation, Nonstationarity, and Cointegration
	ARIMA Models
		Autoregressive Models
		Moving Average Models
		Autoregressive Moving Average Models
		ARIMA Models
	The Maximum Likelihood Procedure
	A Complete Example
	Terms
	Chapter 12 Problems
13. Panel Data Techniques
	Panel Data
	Cross-Sectional Fixed Effects Models
	Time Fixed Effects Models
	Random Effects Model
	Robust Standard Errors
	Hausman Test
	An Illustrative Example
	Terms
	Chapter 13 Problems
Critical Values Tables
	Critical Values of the t-Distribution
	Critical Values of the F-Distribution (5%)
	Critical Values of the χ2-Distribution
Cited Works
Index