Statistical Methods in Econometrics

Erscheinungsjahr 1993
ISBN: 978-0-12-576830-6
Verlag: Academic Press Inc

Buch, Englisch, 405 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 750 g

Statistical Methods in Econometrics is appropriate for beginning graduate courses in mathematical statistics and econometrics in which the foundations of probability and statistical theory are developed for application to econometric methodology. Because econometrics generally requires the study of several unknown parameters, emphasis is placed on estimation and hypothesis testing involving several parameters. Accordingly, special attention is paid to the multivariate normal and the distribution of quadratic forms. Lagrange multiplier tests are discussed in considerable detail, along with the traditional likelihood ration and Wald tests. Characteristic functions and their properties are fully exploited. Also asymptotic distribution theory, usually given only cursory treatment, is discussed in detail.
The book assumes a working knowledge of advanced calculus (including integral calculus) basic probability and statistics, and linear algebra. Important properties from matrix algebra are summarized in the appendix. Numerous examples, exercises, and practice problems are included.

Key - Covers both multivariate analysis and matrix algebra
- Focuses on newer tests of hypotheses such as the Lagrange multiplier test
- Discusses characteristic functions in depth
- Material has evolved during 15 years of classroom instruction

Autoren/Hrsg.

Ramanathan, Ramu

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Datenanalyse, Datenverarbeitung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik

Inhaltsverzeichnis

Probability Theory:

Introduction.
Basic Probability.
Random Variables and Distributions.
Some Special Distributions.
Multivariate Distributions.

Statistical Inference:

Sampling Theory.
Asymptotic Distribution Theory.
Estimation.
Tests of Hypothesis.

Econometrics:

Multiple Regression.
Functional Forms and Dummy Variables.
Nonspherical Disturbances.
Appendixes.
References.
Author Index.
Subject Index.