Econometrics

This book is intended for a first year graduate course in econometrics. However, the first six chapters have no matrix algebra and can be used in an advanced undergraduate class. This can be supplemented by some of the material in later chapters that do not require matrix algebra, like the first part of Chapter lIon simultaneous equations and Chapter 14 on time-series analysis. This book teaches some of the basic econometric methods and the underlying assumptions behind them. Estimation, hypotheses testing and prediction are three recurrent themes in this book. Some uses of econometric methods include (i) empirical testing of economic theory, whether it is the permanent income consumption theory or purchasing power parity, (ii) forecasting, whether it is GNP or unemployment in the U.S. economy or future sales in the computer industry. (iii) Estimation of price elasticities of demand, or returns to scale in production. More importantly, econometric methods can be used to simulate the effect of policy changes like a tax increase on gasoline consumption, or a ban on advertising on cigarette consumption. It is left to the reader to choose among the available econometric software to use, like TSP, SHAZAM, PcGive, HUMMER, LIMDEP, SAS, STATA, GAUSS and EViews. The empirical illustrations in the book utilize a variety of these software packages. Of course, these packages have different advantages and disadvantages. This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in time-series, limited dependent variables and panel data models, as well as specification testing, Gauss-Newton regressions and regression diagnostics. Some of the strengths of this book lie in presenting difficult material in a simple, yet rigorous manner. The exercises contain theoretical problems that should supplement the understanding of the material in each chapter. In addition, the book has a set of empirical illustrations demonstrating some of the basic results learned in each chapter. The empirical exercises are solved using several econometric software packages Front Matter....Pages I-XIV What is Econometrics?....Pages 1-6 A Review of Some Basic Statistical Concepts....Pages 7-40 Simple Linear Regression....Pages 41-69 Multiple Regression Analysis....Pages 70-96 Violations of the Classical Assumptions....Pages 97-132 Distributed Lags and Dynamic Models....Pages 133-153 The General Linear Model: The Basics....Pages 154-188 Regression Diagnostics and Specification Tests....Pages 189-236 Generalized Least Squares....Pages 237-251 Seemingly Unrelated Regressions....Pages 252-267 Simultaneous Equations Model....Pages 268-306 Pooling Time-Series of Cross-Section Data....Pages 307-330 Limited Dependent Variables....Pages 331-362 Time-Series Analysis....Pages 363-386 Back Matter....Pages 387-398 This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also examines more advanced topics in time series, limited dependent variables and panel data models, as well as specifications testing, Gauss-Newton regressions and regression diagnostics. Recoge:Qué es la econometría?; Algunos conceptos estadísticos básicos; Regresión lineal simple; Regresión múltiple; Modelos de ecuaciones simultáneas; Series temporales For other definitions of econometrics, see Tintner (1953).