肯尼迪的计量经济学原理A_Guide_to_Econometrics__6e_Kennedy

范老师 · 发表于 18-9-8 20:38:40

Preface x
Dedication xii
1 Introduction 1
1 . 1 What is Econometrics? 1
1 .2 The Disturbance Term 2
1 . 3 Estimates and Estimators 4
1 .4 Good and Preferred Estimators 5
General Notes 6
Technical Notes 10
2 Criteria for Estimators 11
2. 1 Introduction 1 1
2.2 Computational Cost 1 1
2.3 Least Squares 1 2
2.4 Highest R2 1 3
2.5 Unbiasedness 1 4
2.6 Efficiency 1 6
2.7 Mean Square Error 1 7
2.8 Asymptotic Properties 18
2.9 Maximum Likelihood 2 1
2. 1 0 Monte Carlo Studies 22
2. 1 1 Adding Up 25
General Notes 26
Technical Notes 3 2
3 The Classical Linear Regression Model 40
3 . 1 Textbooks as Catalogs 40
3 .2 The Five Assumptions 4 1
v
vi Contents
3 . 3 The OLS Estimator in the CLR Model 43
General Notes 44
Technical Notes 47
4 Interval Estimation and Hypothesis Testing 51
4. 1 Introduction 5 1
4.2 Testing a Single Hypothesis: the t Test 5 1
4.3 Testing a Joint Hypothesis: the F Test 5 2
4.4 Interval Estimation for a Parameter Vector 54
4.5 LR, W, and LM Statistics 56
4.6 Bootstrapping 58
General Notes 59
Technical Notes 67
5 Specification 71
5 . 1 Introduction 7 1
5 . 2 Three Methodologies 72
5.3 General Principles for Specification 75
5.4 Misspecification Tests/Diagnostics 76
5 . 5 R2 Again 79
General Notes 8 1
Technical Notes 89
6 Violating Assumption One: Wrong Regressors, Nonlinearities, and
Parameter Inconstancy 93
6. 1 Introduction 93
6.2 Incorrect Set of Independent Variables 93
6.3 Nonlinearity 95
6.4 Changing Parameter Values 97
General Notes 1 00
Technical Notes 1 06
7 Violating Assumption Two: Nonzero Expected Disturbance 109
General Notes 1 1 1
8 Violating Assumption Three: Nonspherical Disturbances 1 12
8. 1 Introduction 1 1 2
8.2 Consequences of Violation 1 1 3
8.3 Heteroskedasticity 1 1 5
8.4 Autocorrelated Disturbances 1 18
8.5 Generalized Method of Moments 1 22
General Notes 1 23
Technical Notes 1 29
9 Violating Assumption Four: Instrumental Variable Estimation 137
9 . 1 Introduction 1 37
9.2 The IV Estimator 14 1
9 . 3 IV Issues 1 44
Contents vii
General Notes 1 46
Technical Notes 1 5 1
10 Violating Assumption Four: Measurement Errors and Autoregression 157
1 0. l Errors in Variables 1 5 7
1 0.2 Autoregression 1 60
General Notes 1 63
Technical Notes 1 67
1 1 Violating Assumption Four: Simultaneous Equations 171
1 1 . 1 Introduction 1 7 1
1 1 . 2 Identification 1 7 3
1 1 .3 Single-Equation Methods 1 76
1 1 .4 Systems Methods 1 80
General Notes 18 1
Technical Notes 186
12 Violating Assumption Five: Multicollinearity 192
1 2. l Introduction 1 92
1 2.2 Consequences 1 9 3
1 2. 3 Detecting Multicollinearity 1 94
1 2.4 What To Do 1 96
General Notes 1 98
Technical Notes 202
13 Incorporating Extraneous Information 203
1 3 . 1 Introduction 203
1 3 .2 Exact Restrictions 203
1 3 . 3 Stochastic Restrictions 204
1 3 .4 Pre-Test Estimators 204
1 3 .5 Extraneous Information and MSE 206
General Notes 207
Technical Notes 2 1 1
1 4 The Bayesian Approach 213
1 4 . 1 Introduction 2 1 3
1 4.2 What is a Bayesian Analysis? 2 1 3
1 4.3 Advantages of the Bayesian Approach 2 1 6
1 4.4 Overcoming Practitioners' Complaints 2 1 7
General Notes 220
Technical Notes 226
15 Dummy Variables 232
1 5 . 1 Introduction 232
1 5.2 Interpretation 233
1 5 . 3 Adding Another Qualitative Variable 234
1 5 .4 Interacting with Quantitative Variables 235
Vlll Contents
1 5 .5 Observation-Specific Dummies 236
General Notes 237
Technical Notes 240
16 Qualitative Dependent Variables 241
1 6 . 1 Dichotomous Dependent Variables 24 1
1 6.2 Polychotomous Dependent Variables 244
1 6. 3 Ordered Logit/Probit 245
1 6.4 Count Data 246
General Notes 246
Technical Notes 254
17 Limited Dependent Variables 262
17 . 1 Introduction 262
17 .2 The Tobit Model 263
1 7 . 3 Sample Selection 265
1 7 . 4 Duration Models 267
General Notes 269
Technical Notes 273
18 Panel Data 281
18. 1 Introduction 28 1
18.2 Allowing for Different Intercepts 282
1 8 . 3 Fixed Versus Random Effects 284
1 8.4 Short Run Versus Long Run 286
18.5 Long, Narrow Panels 287
General Notes 288
Technical Notes 292
19 Time Series Econometrics 296
1 9 . 1 Introduction 296
1 9.2 ARIMA Models 297
1 9 . 3 VARs 298
1 9 .4 Error Correction Models 299
1 9 . 5 Testing for Unit Roots 3 0 1
1 9.6 Cointegration 302
General Notes 3 04
Technical Notes 3 1 4
20 Forecasting 331
20. 1 Introduction 3 3 1
20.2 Causal Forecasting/Econometric Models 3 3 2
20.3 Time Series Analysis 3 3 3
20.4 Forecasting Accuracy 334
General Notes 3 3 5
Technical Notes 342
21 Robust Estimation
2 1 . 1 Introduction
2 1 .2 Outliers and Influential Observations
2 1 .3 Guarding Against Influential Observations
2 1 .4 Artificial Neural Networks
2 1 .5 Nonparametric Estimation
General Notes
Technical Notes
22 Applied Econometrics
22. 1 Introduction
22.2 The Ten Commandments of Applied Econometrics
22.3 Getting the Wrong Sign
22.4 Common Mistakes
22.5 What do Practitioners Need to Know?
General Notes
Technical Notes
23 Computational Considerations
23 . 1 Introduction
23.2 Optimizing via a Computer Search
2 3 . 3 Estimating Integrals via Simulation
23.4 Drawing Observations from Awkward Distributions
General Notes
Technical Notes
Appendix A: Sampling Distributions,
链接：https://pan.baidu.com/s/1oX-vqyHaTlaXnmIzGp8NCA

购买主题 已有 1 人购买 本主题需向作者支付 50 个金币 才能浏览

worldinmyheart · 发表于 18-9-21 11:45:57

经典教材值得学习

		自动登录	找回密码
密码			注册