Econometrics in Practice

This book covers the econometric methodsnecessary for a practicing applied economist or data analyst. This requiresboth an understanding of statistical theory and how it is used in actual applications. Chapters 1 to 9 present the material concerned with basic statistical theory. Chapters 10 to 13 introduce a number of topics which form the basis of more advanced option modules, such as time series methods in applied econometrics. To get the most out of these topics, companion files include Excel datasets and 4-color figures. It includes pull down menus to graph the data, calculate sample statistics and estimate regression equations. FEATURES: Integration of econometrics methods with statistical foundations Worked examples of all models considered in the text Includes Excel datasheets to facilitate estimation and application of models Features instructor ancillaries for use as atextbook Cover Half-Title Title Copyright Dedication Contents Preface Chapter 1: Probability and the Statistical Foundations of Econometrics 1.1 Joint, Conditional, and Marginal Probabilities 1.2 The Probability Distribution Function 1.3 The Normal Distribution 1.4 The Probability Density Function and the Moments of the Distribution 1.5 Other Useful Distributions 1.6 Classical and Bayesian Statistics 1.7 Summary Exercises References Chapter 2: Statistical Inference 2.1 Sampling 2.2 Hypothesis Testing 2.3 Confidence Intervals 2.4 P Values 2.5 Higher-Order Moments 2.6 NonParametric Tests Exercises References Chapter 3: The Bivariate Regression Model 3.1 Derivation of the OLS Estimator 3.2 Interpreting the Regression Line – Marginal Effects and Elasticities 3.3 The Reverse Regression 3.4 Assumptions of the Classical Linear Regression Model 3.5 Distribution of the OLS Estimator 3.6 Statistical Inference with the OLS Estimator 3.7 Proof of the Gauss–Markov Theorem 3.8 The Method of Maximum Likelihood 3.9 Prediction with the OLS Estimator 3.10 Summary Exercises References Chapter 4: The Multivariate Regression Model 4.1 Derivation of the Distribution of the OLS Estimator 4.2 Principles of Testing 4.3 Hypothesis Testing in the Multivariate Regression Model 4.4 Goodness of Fit 4.5 Misspecification 4.6 Interpreting a Multivariable Regression Equation 4.7 Partial Correlation Exercises References Chapter 5: Serial Correlation 5.1 Causes of Serial Correlation 5.2 Consequences of Serial Correlation 5.3 Detection of Serial Correlation 5.4 Dealing with Serial Correlation 5.5 Serial Correlation as a Simplifying Assumption Exercises References Chapter 6: Heteroscedasticity, Functional Form, and Structural Breaks 6.1 Causes of Heteroscedasticity 6.2 Consequences of Heteroscedasticity 6.3 Detection of Heteroscedasticity 6.4 Dealing with Heteroscedasticity 6.5 Testing the Functional Form 6.6 Changing the Functional Form 6.7 Testing Linear vs Log-Linear Functional Forms 6.8 Autoregressive Conditional Heteroscedasticity 6.9 Structural Breaks Exercises References Chapter 7: Binary Dependent Variables 7.1 Logit Estimation 7.2 Goodness of Fit in Limited Dependent Variable Models 7.3 An Aside on Maximum Likelihood 7.4 Some Alternative Limited Dependent Variable Models 7.5 Another Example: The Market for Oranges Exercises References Chapter 8: Stochastic Regressors 8.1 Exogenous Regressors 8.2 Implications for Ordinary Least Squares Estimation 8.3 Asymptotic Distribution Theory 8.4 The Errors in Variables Model 8.5 The Instrumental Variables Estimator 8.6 Simultaneous Equations 8.7 Estimation of Simultaneous Equations Models 8.8 Estimation of Over Identified Equations Exercises References Chapter 9: Dynamic Models 9.1 Models with Expectations 9.2 Costs of Adjustment 9.3 Assessing the Dynamics 9.4 Modeling Dynamic Relationships 9.5 Statistical Problems with Lagged Dependent Variables Exercises References Chapter 10: Time Series Analysis and ARIMA Modeling 10.1 Identification of ARIMA Processes 10.2 ARIMA Modeling 10.3 Forecasting with an ARIMA Model 10.4 Impulse Responses 10.5 Moving Average Processes Exercises References Chapter 11: Unit Roots and Seasonality 11.1 Testing for Unit Roots 11.2 Forecasting with Unit Root Processes 11.3 Seasonality 11.4 Structural Breaks and Unit Roots Exercises References Chapter 12: Cointegration 12.1 Testing for Cointegration 12.2 Cointegration with Multiple Variables 12.3 Cointegration and Error Correction 12.4 The Johansen Test for Cointegration Exercises References Chapter 13: Vector Autoregressions 13.1 Some General Results for VARs 13.2 Impulse Responses 13.3 Variance Decompositions 13.4 Structural VARs 13.5 Vector Error Correction Models (VECMs) Exercises References Appendix: Answers to Odd Numbered Exercises Index This book covers the econometric methods necessary for a practicing applied economist or data analyst. This requires both an understanding of statistical theory and how it is used in actual applications. Chapters 1 to 9 present the material concerned with basic statistical theory. Chapters 10 to 13 introduce a number of topics which form the basis of more advanced option modules, such as time series methods in applied econometrics. To get the most out of these topics, companion files include Excel datasets and 4-color figures. It includes pull down menus to graph the data, calculate sample statistics and estimate regression equations. The companion files and/or instructor resources are available online by emailing the publisher with proof of purchase at info@merclearning.com. This book covers the econometric methodsnecessary for a practicing applied economist or data analyst. This requiresboth an understanding of statistical theory and how it is used in actual applications. Chapters 1 to 9 present the material concerned with basic statistical theory. Chapters 10 to 13 introduce a number of topics which form the basis of more advanced option modules, such as time series methods in applied econometrics. To get the most out of these topics, companion files include Excel datasets and 4-color figures. It includes pull down menus to graph the data, calculate sample statistics and estimate regression equations. -- Provided by publisher