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Author:   Gary Koop (University of Strathclyde)
Publisher:   John Wiley & Sons Inc
Imprint:   John Wiley & Sons Inc
Dimensions:   Width: 18.90cm , Height: 2.40cm , Length: 22.50cm
Weight:   0.709kg
ISBN:  

9780470032701

ISBN 10:   0470032707
Pages:   384
Publication Date:   23 November 2007
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Preface. Chapter 1: An Overview of Econometrics. 1.1 The Importance of Econometrics. 1.2 Types of Economic Data. 1.3 Working with Data: Graphical Methods. 1.4 Working with Data: Descriptive Statistics and Correlation. 1.5 Chapter Summary. Exercises. Chapter 2: A Non-technical Introduction to Regression. 2.1 Introduction. 2.2 The Simple Regression Model. 2.3 The Multiple Regression Model. 2.4 Chapter Summary. Exercises. Chapter 3: The Econometrics of the Simple Regression Model. 3.1 Introduction. 3.2 A Review of Basic Concepts in Probability in the Context of the Regression Model. 3.3 The Classical Assumptions for the Regression Model. 3.4 Properties of the Ordinary Least Squares Estimator of β. 3.5 Deriving a Confidence Interval for β. 3.6 Hypothesis Tests about β. 3.7 Modifications to Statistical Procedures when σ2 is Unknown. 3.8 Chapter Summary. Exercises. Appendix 1: Proof of the Gauss-Markov theorem. Appendix 2: Using a Asymototic Theory in the Simple Regression Model. Chapter 4: The Econometrics of the Multiple Regression Model. 4.1 Introduction. 4.2 Basic Results for the Multiple Regression Model. 4.3 Issues Relating to the  Choice of Explanatory Variables. 4.4 Hypothesis Testing in the Multiple Regression Model. 4.5 Choice of Functional Form in the Multiple Regression Model. 4.6 Chapter Summary. Exercises. Appendix: Wald and Lagrange multiplier tests.  Chapter 5: The Multiple Regression Model: Freeing up Classical Assumptions. 5.1 Introduction. 5.2 Basic Theoretical Results. 5.3 Heteroskedasticity. 5.4 The Regression Model with Autocorrelated Errors. 5.5 The Instrumental Variables Estimator. 5.6 Chapter Summary. Exercises. Appendix: Asymptotic Results for the OLS and Instrumental variables Estimators. Chapter 6: Univariate Time Series Analysis. 6.1 Introduction. 6.2 Time Series Notation. 6.3 Trends in Time Series Variables. 6.4 The Autocorrelation Function. 6.5 The Autoregressive Model. 6.6 Defining Stationarity. 6.7 Modelling Volatility. 6.8 Chapter Summary. Exercises. Appendix: MA and ARMA Models.  Chapter 7: Regression with Time Series Variables. 7.1 Introduction. 7.2 Time Series Regression when X and Y are Stationary. 7.3 Time Series Regression When Y and X have Unit Roots. 7.4 Time Series Regression when Y and X   have Unit Roots but are NOT Cointegrated. 7.5 Granger Causality. 7.6 Vector Autoregressions. 7.7 Chapter Summary. Exercises. Appendix: The Theory of Forecasting.  Chapter 8: Models for Panel Data. 8.1 Introduction. 8.2 The Pooled Model. 8.3 Individual Effects Models. 8.4 Chapter Summary.  Exercises. Chapter 9: Qualitative Choice and Limited Dependent Variable Models. 9.1 Introduction. 9.2 Qualitative Choice Models. 9.3 Limited Dependent Variable Models. 9.4 Chapter Summary. Exercises. Chapter 10: Bayesian Econometrics. 10.1 An Overview of Bayesian Econometrics. 10.2 The Normal Linear Regression Model with Natural Conjugate Prior and a Single Explanatory Variable. 10.3 Chapter Summary. 10.4 Exercises. Appendix: Bayesian Analysis of the Simple Regression Model with Unknown Variance. Appendix A; Mathematical Basics. Appendix B: Probability Basics. Appendix C: Basic Concepts in Asymptotic Theory. Appendix D: Writing an Empirical Project. Tables. Bibliography. Index.

Reviews

An introductory text offering econometric methodology for quantifying and managing this variety of risk, illustrated by empirical examples. ( Times Higher Education Supplement, Thursday 28th February)

An introductory text offering econometric methodology for quantifying and managing this variety of risk, illustrated by empirical examples. (Times Higher Education Supplement, Thursday 28th February)

Author Information

Gary Koop is Professor of Economics at the University of Strathclyde. Gary has published numerous articles econometrics in journals such as the Journal of Econometrics and Journal of Applied Econometrics. Gary has taught econometrics for many years and is the author of following textbooks, all published by John Wiley & Sons Ltd: Analysis of Economic Data 2ed, Analysis of Financial Data and Bayesian Econometrics

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