For a one-year graduate course in Econometrics. This text has two objectives. The first is to introduce students to applied econometrics, including basic techniques in regression analysis and some of the rich variety of models that are used when the linear model proves inadequate or inappropriate. The second is to present students with sufficient theoretical background that they will recognize new variants of the models learned about here as merely natural extensions that fit within a common body of principles. The Fifth Edition features a complete update of techniques and developments, a reorganization of material for improved presentation, and new material and applications. 1. Introduction -- 2. The Classical Multiple Linear Regression Model -- 3. Least Squares -- 4. Finite-sample Properties Of The Least Squares Estimator -- 5. Large-sample Properties Of The Least Squares And Instrumental Variables Estimators -- 6. Inference And Prediction -- 7. Functional Form And Structural Change -- 8. Specification Analysis And Model Selection -- 9. Nonlinear Regression Models -- 10. Nonspherical Disturbances: The Generalized Regression Model -- 11. Heteroscedasticity -- 12. Serial Correlation -- 13. Models For Panel Data -- 14. Systems Of Regression Equations -- 15. Simultaneous-equations Models -- 16. Estimation Frameworks In Econometrics -- 17. Maximum Likelihood Estimation -- 18. The Generalized Method Of Moments -- 19. Models With Lagged Variables -- 20. Time-series Models -- 21. Models For Discrete Choice -- 22. Limited Dependent Variable And Duration Models -- Appendixes: -- A. Matrix Algebra -- B. Probability And Distribution Theory -- C. Estimation And Inference -- D. Large Sample Distribution Theory -- E. Computation And Optimization -- F. Data Sets Used In Applications -- G. Statistical Tables. William H. Greene. Includes Bibliographical References (p. 959-994) And Indexes. "Currently the standard source in Economics, Sociology, Political Science, Medical Research, Transport Research, and Environmental Economics, to name just a few, the fourth edition of Econometric Analysis provides a comprehensive survey of econometrics, with significant pedagogical work that will continue to serve as a modern, up-to-date text and reference for future practitioners."--BOOK JACKET. In the first issue of Econometrica, the Econometric Society stated that its main object shall be to promote studies that aim at a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking similar to that which has come to dominate the natural sciences. Includes Classical, Bayesian, GMM, maximum likelihood, cross section, and more time series and panel data, covering applications and numerical examples. This book gives solutions to applications that show students how to do the computations. It gives attention to both linear and nonlinear techniques.
