Foundations of Modern Econometrics: A Unified Approach

Contents
Preface
1. Introduction to Econometrics
	1.1 Introduction
	1.2 Quantitative Features of Modern Economics
	1.3 Mathematical Modeling
	1.4 Empirical Validation
	1.5 Illustrative Examples
	1.6 Limitations of Econometric Analysis
	1.7 Conclusion
	Exercise 1
2. General Regression Analysis
	2.1 Conditional Probability Distribution
	2.2 Conditional Mean and Regression Analysis
	2.3 Linear Regression Modeling
	2.4 Correct Model Specification for Conditional Mean
	2.5 Conclusion
	Exercise 2
3. Classical Linear Regression Models
	3.1 Framework and Assumptions
	3.2 Ordinary Least Squares (OLS) Estimation
	3.3 Goodness of Fit and Model Selection Criteria
	3.4 Consistency and Efficiency of the OLS Estimator
	3.5 Sampling Distribution of the OLS Estimator
	3.6 Variance Estimation for the OLS Estimator
	3.7 Hypothesis Testing
	3.8 Applications
	3.9 Generalized Least Squares Estimation
	3.10 Conclusion
	Exercise 3
4. Linear Regression Models with Independent Observations
	4.1 Introduction to Asymptotic Theory
	4.2 Framework and Assumptions
	4.3 Consistency of the OLS Estimator
	4.4 Asymptotic Normality of the OLS Estimator
	4.5 Asymptotic Variance Estimation
	4.6 Hypothesis Testing
	4.7 Testing for Conditional Homoskedasticity
	4.8 Conclusion
	Exercise 4
5. Linear Regression Models with Dependent Observations
	5.1 Introduction to Time Series Analysis
	5.2 Framework and Assumptions
	5.3 Consistency of the OLS Estimator
	5.4 Asymptotic Normality of the OLS Estimator
	5.5 Asymptotic Variance Estimation for the OLS Estimator
	5.6 Hypothesis Testing
	5.7 Testing for Conditional Heteroskedasticity and Autoregressive Conditional Heteroskedasticity
	5.8 Testing for Serial Correlation
	5.9 Conclusion
	Exercise 5
6. Linear Regression Models Under Conditional Heteroskedasticity and Autocorrelation
	6.1 Motivation
	6.2 Framework and Assumptions
	6.3 Long-Run Variance-Covariance Matrix Estimation
	6.4 Consistency of the OLS Estimator
	6.5 Asymptotic Normality of the OLS Estimator
	6.6 Hypothesis Testing
	6.7 Testing Whether Long-Run Variance-Covariance Matrix Estimation Is Needed
	6.8 Ornut-Cochrane Procedure
	6.9 Conclusion
	Exercise 6
7. Instrumental Variables Regression
	7.1 Motivation
	7.2 Framework and Assumptions
	7.3 Two-Stage Least Squares (2SLS) Estimation
	7.4 Consistency of the 2SLS Estimator
	7.5 Asymptotic Normality of the 2SLS Estimator
	7.6 Interpretation and Estimation of Asymptotic Variance-Covariance Matrix of the 2SLS Estimator
	7.7 Hypothesis Testing
	7.8 Hausman’s Test
	7.9 Conclusion
	Exercise 7
8. Generalized Method of Moments Estimation
	8.1 Introduction to Method of Moments Estimation
	8.2 Generalized Method of Moments (GMM) Estimation
	8.3 Consistency of the GMM Estimator
	8.4 Asymptotic Normality of the GMM Estimator
	8.5 Asymptotic Efficiency of the GMM Estimator
	8.6 Two-Stage Asymptotically Most Efficient GMM Estimation
	8.7 Asymptotic Variance-Covariance Matrix Estimation
	8.8 Hypothesis Testing
	8.9 Model Specification Testing
	8.10 Conclusion
	Exercise 8
9. Maximum Likelihood Estimation and Quasi-Maximum Likelihood Estimation
	9.1 Motivation
	9.2 Maximum Likelihood Estimation (MLE) and Quasi-MLE (QMLE)
	9.3 Statistical Properties of MLE/QMLE
	9.4 Correct Model Specification and Its Implications
	9.5 Asymptotic Distribution of MLE
	9.6 Consistent Estimation of Asymptotic Variance-Covariance Matrix of MLE
	9.7 Parameter Hypothesis Testing Under Correct Model Specification
	9.8 Model Misspecification for Conditional Probability Distribution and Its Implications
	9.9 Asymptotic Distribution of QMLE
	9.10 Asymptotic Variance Estimation of QMLE
	9.11 Hypothesis Testing Under Model Misspecification
	9.12 Specification Testing for Conditional Probability Distribution Model
	9.13 Conclusion
	Exercise 9
10. Modern Econometrics: Retrospect and Prospect
	10.1 Summary of Book
	10.2 Assumptions of Classical Econometrics
	10.3 From Normality to Nonnormality
	10.4 From Independent and Identically Distributed Disturbances to Conditional Heteroskedasticity and Autocorrelation
	10.5 From Linear to Nonlinear Models
	10.6 From Exogeneity to Endogeneity
	10.7 From Correct Model Specification to Model Misspecification
	10.8 From Stationarity to Nonstationarity
	10.9 From Econometric Models to Economic Theories
	10.10 From Traditional Data to Big Data
	10.11 Conclusion
	Exercise 10
Bibliography
Index