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Econometric Foundations / With CD

Econometric Foundations / With CD - 00 edition

Econometric Foundations / With CD - 00 edition

ISBN13: 9780521623940

ISBN10: 0521623944

Econometric Foundations / With CD by Ron C. Mittelhammer, George G. Judge and Douglas Miller - ISBN 9780521623940
Edition: 00
Copyright: 2000
Publisher: Cambridge University Press
International: No
Econometric Foundations / With CD by Ron C. Mittelhammer, George G. Judge and Douglas Miller - ISBN 9780521623940

ISBN13: 9780521623940

ISBN10: 0521623944

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Econometric Foundations establishes a new paradigm for teaching econometric problems to talented upper-level undergraduates, graduate students, and professionals. The complete package (text, accompanying CD-ROM, and electronic guide) provides relevance, clarity, and organization to those wishing to acquaint themselves with the principles and procedures for information processing and recovery from samples of economic data. In the real world such data are usually limited or incomplete, and the parameters sought are unobserved and not subject to direct observation or measurement. Econometric Foundations fully provides an operational understanding of a rich set of estimation and inference tools to master such data, including traditional likelihood based and non-traditional non-likelihood based procedures, that can be used in conjunction with the computer to address economic problems. The accompanying CD-ROM contains reviews of probability theory, principles of classical estimation and inference, and handling of ill-posed inverse problems in text-searchable electronic documents, an interactive Matrix Review manual with GAUSS LIGHT software, and an electronic Examples Manual. A separate Guide, which may be accessed through the Internet, further enhances the student's mastery of the topics by providing solutions guides to the questions and problems in the text. This text, CD-ROM, and electronic guide package make Econometric Foundations the most up-to-date and comprehensive learning resource available.

Table of Contents

Table of Contents

Part I. Information Processing Recovery:

1. The process of econometric information recovery
2. Probability-econometric models

Part II. Regression Model-estimation and Inference:

3. The multivariate normal linear regression model: ML estimation
4. The multivariate normal linear regression model: inference
5. The linear semiparametric regression model: least squares estimation
6. The linear semiparametric regression model: inference

Part III. Extremum Estimators and Nonlinear and Nonnormal Regression Models:

7. Extremum estimation and inference
8. The nonlinear semiparametric regression model: estimation and inference
9. Nonlinear and non normal parametric regression models

Part IV. Avoiding the Parametric Likelihood:

10. Stochastic regressors and moment-based estimation
11. Quasi-maximum likelihood and estimating equations
12. Empirical likelihood estimation and inference
13. Information theoretic-entropy approaches to estimation and inference

Part V. Generalized Regression Models:

14. Regression models with a known general noise covariance matrix
15. Regression models with an unknown general noise covariance matrix

Part VI. Simultaneous Equation Probability Models and General Moment-Based Estimation and Inference:

16. Generalized moment based estimation and inference
17. Simultaneous equations econometric models: estimation and inference

Part VII. Model Discovery:

18. Model discovery: the problem of variable selection and conditioning
19. Model discovery: the problem of noise covariance matrix specification

Part VIII. Special Econometric Topics:

20. Qualitative-censored response models
21. Introduction to density and regression analysis

Part IX. Bayesian Estimation and Inference:

22. Bayesian estimation: general principles with a regression focus
23. Alternative Bayes formulations for the regression model
24. Bayesian inference

Part X. Epilogue
Appendix: introduction to computer simulation and resampling methods.