Elements of Econometrics

PART ONE Basic Statistical Theory 3(200) 1. Introduction to Statistical Inference 3(16) 1-1 Basic Concepts of Statistical Inference 3(4) 1-2 The Nature of Statistical Inference 7(2) 1-3 Sampling Distributions 9(3) 1-4 Properties of Sampling Distributions 12(3) 1-5 Derivation of Sampling Distributions 15(1) Exercises 16(3) 2. Experimental Derivation of Sampling Distributions 19(13) 2-1 Sampling Distribution of Sample Proportion of Successes 20(4) 2-2 Sampling Distribution of Sample Mean 24(5) Exercises 29(3) 3. Probability and Probability Distributions 32(45) 3-1 Sets and Sample Spaces 34(2) 3-2 Permutations and Combinations 36(7) 3-3 Basic Theorems of Probability Theory 43(7) 3-4 Bayes Theorem 50(3) 3-5 Discrete Random Variables and Probability Functions 53(6) 3-6 Continuous Random Variables and Probability Functions 59(3) 3-7 Mathematical Expectation 62(10) Exercises 72(5) 4. Theoretical Derivation of Sampling Distributions 77(33) 4-1 Sampling Distribution of Sample Proportion of Successes: Binomial Distribution 78(7) 4-2 Normal Distribution as the Limiting Case of Binomial Distribution 85(12) 4-3 Sampling Distribution of Sample Mean 97(11) Exercises 108(2) 5. Tests of Hypotheses 110(45) 5-1 Design and Evaluation of Tests 110(25) 5-2 Distribution of Selected Test Statistics 135(17) Exercises 152(3) 6. Estimation 155(48) 6-1 Properties of Estimators 156(16) 6-2 Methods of Estimation 172(15) 6-3 Confidence Intervals 187(5) 6-4 Bayesian Inference 192(6) Exercises 198(5) PART TWO Basic Econometric Theory 203(532) 7. Simple Regression 203(57) 7-1 Relations Between Variables 203(4) 7-2 The Regression Model 207(4) 7-3 Estimation of the Regression Parameters 211(13) 7-4 Further Results of Statistical Inference 224(32) Exercises 256(4) 8. Violations of Basic Assumptions 260(86) 8-1 Nonnormality and Nonzero Mean 261(8) 8-2 Heteroskedasticity 269(29) 8-3 Autocorrelated Disturbances 298(36) 8-4 Stochastic Explanatory Variable 334(7) Exercises 341(5) 9. Estimation with Deficient Data 346(46) 9-1 Errors of Measurement 346(20) 9-2 Estimation from Grouped Data 366(13) 9-3 Estimation When Some Observations Are Missing 379(9) Exercises 388(4) 10. Multiple Regression 392(68) 10-1 Estimation of Regression Parameters 392(11) 10-2 Further Results of Statistical Inference 403(27) 10-3 Multicollinearity 430(12) 10-4 Specification Errors 442(13) Exercises 455(5) 11. Formulation and Estimation of Special Models 460(147) 11-1 Models with Binary Regressors 461(15) 11-2 Models with Restricted Coefficients 476(27) 11-3 Nonlinear Models 503(24) 11-4 Distributed Lag Models 527(20) 11-5 Models with Qualitative Dependent Variables 547(13) 11-6 Models with Limited Dependent Variables 560(6) 11-7 Models with Varying Coefficients 566(13) 11-8 Models with Unobservable Variables 579(8) 11-9 Disequilibrium Models 587(6) 11-10 Model Choice 593(7) Exercises 600(7) 12. Generalized Linear Regression Model and Its Applications 607(44) 12-1 Generalized Linear Regression Model 607(9) 12-2 Pooling of Cross-section and Time-Series Data 616(19) 12-3 Seemingly Unrelated Regressions 635(13) Exercises 648(3) 13. Simultaneous Equation Systems 651(84) 13-1 Description of Simultaneous Equation Systems 652(8) 13-2 The Identification Problem 660(12) 13-3 Single-Equation Methods of Estimation 672(23) 13-4 System Methods of Estimation 695(9) 13-5 Estimation of Models with Nonspherical Disturbances 704(7) 13-6 Comparison of Alternative Methods of Estimation and Special Topics 711(12) 13-7 Analysis of Dynamic Econometric Models 723(8) Exercises 731(4) APPENDIX 735(38) A. Algebra of Summations 735(3) B. Elements of Matrix Algebra 738(11) C. Asymptotic Distributions in Regression Models with Stochastic Explanatory Variables by E. P. Howrey and S. H. Hymans 749(9) D. Statistical Tables 758(13) E. The Greek Alphabet 771(2) INDEX 773