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• Cover
• Title Page
• Preface
• 1 Introduction
• 1.1 About Econometrics
• 1.2 The Structure of This Book
• 1.3 Illustrations and Exercises
• 2 An Introduction to Linear Regression
• 2.1 Ordinary Least Squares as an Algebraic Tool
• 2.2 The Linear Regression Model
• 2.3 Small Sample Properties of the OLS Estimator
• 2.4 Goodness-of-Fit
• 2.5 Hypothesis Testing
• 2.6 Asymptotic Properties of the OLS Estimator
• 2.7 Illustration: The Capital Asset Pricing Model
• 2.8 Multicollinearity
• 2.9 Missing Data, Outliers and Influential Observations
• 2.10 Prediction
• 3 Interpreting and Comparing Regression Models
• 3.1 Interpreting the Linear Model
• 3.2 Selecting the Set of Regressors
• 3.3 Misspecifying the Functional Form
• 3.4 Illustration: Explaining House Prices
• 3.5 Illustration: Predicting Stock Index Returns
• 3.6 Illustration: Explaining Individual Wages
• 4 Heteroskedasticity and Autocorrelation
• 4.1 Consequences for the OLS Estimator
• 4.2 Deriving an Alternative Estimator
• 4.3 Heteroskedasticity
• 4.4 Testing for Heteroskedasticity
• 4.5 Illustration: Explaining Labour Demand
• 4.6 Autocorrelation
• 4.7 Testing for First‐order Autocorrelation
• 4.8 Illustration: The Demand for Ice Cream
• 4.9 Alternative Autocorrelation Patterns
• 4.10 What to Do When You Find Autocorrelation?
• 4.11 Illustration: Risk Premia in Foreign Exchange Markets
• 5 Endogenous Regressors, Instrumental Variables and GMM
• 5.1 A Review of the Properties of the OLS Estimator
• 5.2 Cases Where the OLS Estimator Cannot Be Saved
• 5.3 The Instrumental Variables Estimator
• 5.4 Illustration: Estimating the Returns to Schooling
• 5.5 Alternative Approaches to Estimate Causal Effects
• 5.6 The Generalized Instrumental Variables Estimator
• 5.7 Institutions and Economic Development
• 5.8 The Generalized Method of Moments
• 5.9 Illustration: Estimating Intertemporal Asset Pricing Models
• 6 Maximum Likelihood Estimation and Specification Tests
• 6.1 An Introduction to Maximum Likelihood
• 6.2 Specification Tests
• 6.3 Tests in the Normal Linear Regression Model
• 6.4 Quasi-maximum Likelihood and Moment Conditions Tests
• 7 Models with Limited Dependent Variables
• 7.1 Binary Choice Models
• 7.2 Multiresponse Models
• 7.3 Models for Count Data
• 7.4 Tobit Models
• 7.5 Extensions of Tobit Models
• 7.6 Sample Selection Bias
• 7.7 Estimating Treatment Effects
• 7.8 Duration Models
• 8 Univariate Time Series Models
• 8.1 Introduction
• 8.2 General ARMA Processes
• 8.3 Stationarity and Unit Roots
• 8.4 Testing for Unit Roots
• 8.5 Illustration: Long‐run Purchasing Power Parity (Part 1)
• 8.6 Estimation of ARMA Models
• 8.7 Choosing a Model
• 8.8 Illustration: The Persistence of Inflation
• 8.9 Forecasting with ARMA Models
• 8.10 Illustration: The Expectations Theory of the Term Structure
• 8.11 Autoregressive Conditional Heteroskedasticity
• 8.12 What about Multivariate Models?
• 9 Multivariate Time Series Models
• 9.1 Dynamic Models with Stationary Variables
• 9.2 Models with Nonstationary Variables
• 9.3 Illustration: Long‐run Purchasing Power Parity (Part 2)
• 9.4 Vector Autoregressive Models
• 9.5 Cointegration: the Multivariate Case
• 9.6 Illustration: Money Demand and Inflation
• 10 Models Based on Panel Data
• 10.1 Introduction to Panel Data Modelling
• 10.2 The Static Linear Model
• 10.3 Illustration: Explaining Individual Wages
• 10.4 Dynamic Linear Models
• 10.5 Illustration: Explaining Capital Structure
• 10.6 Panel Time Series
• 10.7 Models with Limited Dependent Variables
• 10.8 Incomplete Panels and Selection Bias
• 10.9 Pseudo Panels and Repeated Cross‐sections
• A Vectors and Matrices
• A.1 Terminology
• A.2 Matrix Manipulations
• A.3 Properties of Matrices and Vectors
• A.4 Inverse Matrices
• A.5 Idempotent Matrices
• A.6 Eigenvalues and Eigenvectors
• A.7 Differentiation
• A.8 Some Least Squares Manipulations
• B Statistical and Distribution Theory
• B.1 Discrete Random Variables
• B.2 Continuous Random Variables
• B.3 Expectations and Moments
• B.4 Multivariate Distributions
• B.5 Conditional Distributions
• B.6 The Normal Distribution
• B.7 Related Distributions
• Bibliography
• Index
• End User License Agreement