Madansky / Bliss / Intriligator Foundations of Econometrics

1. Auflage 2014
ISBN: 978-1-4832-7525-3
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band Volume 7, 274 Seiten, Web PDF

Reihe: Advanced Textbooks in Economics

Advanced Textbooks in Economics, Volume 7: Foundations of Econometrics focuses on the principles, processes, methodologies, and approaches involved in the study of econometrics. The publication examines matrix theory and multivariate statistical analysis. Discussions focus on the maximum likelihood estimation of multivariate normal distribution parameters, point estimation theory, multivariate normal distribution, multivariate probability distributions, Euclidean spaces and linear transformations, orthogonal transformations and symmetric matrices, and determinants. The manuscript then ponders on linear expected value models and simultaneous equation estimation. Topics include random exogenous variables, maximum likelihood estimation of a single equation, identification of a single equation, linear stochastic difference equations, and errors-in-variables models. The book takes a look at a prolegomenon to econometric model building, tests of hypotheses in econometric models, multivariate statistical analysis, and simultaneous equation estimation. Concerns include maximum likelihood estimation of a single equation, tests of linear hypotheses, testing for independence, and causality in economic models. The publication is a valuable source of data for economists and researchers interested in the foundations of econometrics.

Autoren/Hrsg.

Madansky, Albert

Bliss, C. J.

Intriligator, M. D.

Inhaltsverzeichnis

1;Front Cover;1
2;Foundations of Econometrics;4
3;Copyright Page;5
4;Table of Contents;8
5;Preface;6
6;Chapter 1. Matrix theory;10
6.1;1. Matrix operations;11
6.2;2. Euclidean space and linear transformations;18
6.3;3. Matricial representations of linear transformations;25
6.4;4. Projection transformations;29
6.5;5. Determinants;32
6.6;6. Orthogonal transformations and symmetric matrices;45
6.7;7. Generalized inverse;53
6.8;8. Derivatives of functions of matrices;59
6.9;9. References;62
7;Chapter 2. Multivariate statistical analysis: Distribution and point estimation theory;64
7.1;1. Multivariate probability distributions;65
7.2;2. Multivariate normal distribution;82
7.3;3. Point estimation theory;88
7.4;4. Maximum likelihood method of point estimation;98
7.5;5. Maximum likelihood estimation of multivariate normal distribution parameters;104
7.6;6. References;106
8;Chapter 3. Linear expected value models;110
8.1;1. Independent samples;112
8.2;2. Correlated samples;124
8.3;3. Linear stochastic difference equations;134
8.4;4. Errors-in-variables models;141
8.5;5. References ;155
9;Chapter 4. Simultaneous equation estimation ;160
9.1;1. Identification of a single equation ;170
9.2;2. Maximum likelihood estimation of a single equation;175
9.3;3. Maximum likelihood estimation of a system of simultaneous equations;185
9.4;4. Simultaneous least squares estimation ;193
9.5;5. Simultaneous equation estimation via instrumental variables;195
9.6;6. Iterative least squares estimate ;207
9.7;7. Random exogenous variables ;209
9.8;8. References ;210
10;Chapter 5. Multivariate statistical analysis: Hypothesis testing theory;212
10.1;1. Hypothesis testing theory ;213
10.2;2. Sampling distributions ;219
10.3;3. Tests of linear hypotheses ;224
10.4;4. References ;231
11;Chapter 6. Tests of hypotheses in econometric models;232
11.1;1. One-way analysis of variance ;233
11.2;2. Tests of linear hypotheses in regression models;234
11.3;3. Test of equality of regressions ;236
11.4;4. Testing that multiple regression coefficient is zero;238
11.5;5. Testing for independence ;240
11.6;6. Testing for identifiability ;257
11.7;7. References ;259
12;Chapter 7. A prolegomenon to econometric model building;262
12.1;1. The error term in economic modeling ;263
12.2;2. Causality in economic models ;267
12.3;3. Simultaneous equation model types ;269
12.4;4. References ;272
13;Index ;274