Introduction to the Theory and Practice of Econometrics (Probability & Mathematical Statistics) (Wiley series in probability and mathematical statistics)

This Second Edition of the highly acclaimed introduction to econometrics retains its comprehensive nature and strong authorship, while incorporating much new material. New to this edition are a complete treatment of Bayesian inference, sampling theory, an appendix on linear algebra, and a computer handbook. Presentation covers modern statistical models and focuses on the sampling theory process by which the data were generated, and the statistical consequences of alternative decisions under uncertainty. Asymptotics are introduced early on, for use throughout. Includes at least one applied example to illustrate each model, and contains many analytical and numerical exercises. Introduction -- Analysis Of A Sample Of Data -- Analysis Of A Sample From A Normal Population -- Interval Estimation And Hypothesis Testing In The Normal Linear Model -- The Bayesian Approach To Estimating The Mean And Variance Of A Normal Population -- The General Linear Statistical Model -- The Normal General Linear Statistical Model -- Bayesian Estimation And Interference For The Normal Linear Statistical Model -- Linear Stochastic Regressor Models And Asymptotic Theory -- General Linear Statistical Model With Non Scalar-identity Covariance Matrix -- Disturbance-related Sets Of Regression Equations -- An Introduction To Simultaneous Linear Statistical Models -- Estimation And Interference For Simultaneous Equation Statistical Models -- Heteroscedasticity -- Autocorrelation -- Using Time Series And Cross-sectional Data -- Variable Parameter Models -- Models With Qualitative Or Limited Dependent Variables -- Unobservable Variables -- The Use Of Nonsample Information -- Biased Estimation -- Model Specification--variable Selection -- Multicollinearity -- Nonlinear Regression Models -- Time Series Analysis And Forecasting -- Analysis Of Bivariate Time Series -- Distributed Lag Models -- Summary Of Statistical Models, Estimators And Tests. George G. Judge ... [et Al.]. Includes Bibliographies And Index.