This text explores a wide range of topics in modern econometrics and focuses on what is important for doing and understanding empirical work. Topics include: time series analysis; limited dependent variables; cointegration; and panel data analysis.
Marno Verbeek's intermediate level textbook explores a wide range of topics in modern econometrics and focuses on what is important for doing and understanding empirical work. A wide range of new topics are covered including time series analysis, limited dependent variables, cointegration and panel data analysis. FEATURES Concentrates on the intuition behind various techniques and their practical relevance rather than the formulae End of chapter exercises review key concepts in light of empircal examples discussed in the chapter Examples are drawn from a wide variety of fields including labour economics, environmental economics, finance, international economics and macroeconomics CONTENTS: Introduction; An Introduction to Linear Regression; Interpreting and Comparing Regression Models; Heteroskedasticity and Autocorrelation; Stochastic Regressors; Maximum Likelihood Estimation; Models with Limited Dependent Variables; Univariate Time Series Modelling; Multivariate Time Series Analysis; Models Based on Panel Data.
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Marno Verbeek is Professor of Econometrics at the Center for Economic Studies, KU Leuven. He also holds a part--time position at CentER, Tilburg University.
Table of Contents
An Introduction to Linear Regression; Interpreting and Comparing Regression Models; Heteroskedasticity and Autocorrelation; Endogeneity, Instrumental Variables and GMM; Maximum Likelihood Estimation and Specification Tests; Models with Limited Dependent Variables; Univariate Time Series Models; Multivariate Time Series Models; Models Based on Panel Data; Vectors and Matrices; Statistical and Distribution Theory; Bibliography; Index
A Guide to Modern Econometrics by Marno Verbeek
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