Advanced Econometrics

Author: Xie Shiyou
Publisher:
Publish Date: 2005-05-01
Features: This textbook is designed for master's and doctoral students in economics and management. It is divided into four parts. The first part, Introduction, consists of two chapters that introduce the scope, methods, and history of econometrics, as well as the preparatory knowledge of random variables, statistical inference, and stochastic processes. The second part, Classical Regression Analysis, covers three chapters on linear regression analysis, nonlinear regression analysis, and simultaneous equations models. The third part is a special topic on time series data econometric analysis, introducing the general principles of time series econometric analysis, distributed lag models, autoregressive moving average models, vector autoregressive models, and autoregressive conditional heteroskedasticity models, among others. The fourth part discusses panel data, discrete choice, and nonparametric models, as well as special topics on econometrics involving special data, variables, and estimation methods. To provide readers with a comprehensive understanding of econometrics and to enable them to apply econometric methods more effectively, this textbook places particular emphasis on analyzing the scope, structure, methodology, and the intrinsic connections and distinctions between various econometric models. To facilitate reading and enhance reading efficiency, the textbook strives to control the difficulty and scope of mathematical tools and employs as clear and accessible methods as possible for explanation. The textbook is divided into four parts. The first part, Introduction, consists of two chapters that introduce the scope, methods, and history of econometrics, as well as the preparatory knowledge of random variables, statistical inference, and stochastic processes. The second part, Classical Regression Analysis, covers three chapters on linear regression analysis, nonlinear regression analysis, and simultaneous equations models.