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Econometric Theory and Methods

By Mackinnon, James G.

Econometric Theory and Methods Law

Econometric Theory and Methods

By Mackinnon, James G.

0 - Default Title
Description
This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.
Product details
Edition:
1
Number of Pages:
770
Release Date:
2003-10-16
Publication Date:
2003-10-01
Publisher:
Oxford University Press
Languages:
Original: English
ISBN10:
0195123727
ISBN13:
9780195123722
GPSR Manufacturer Reference:
[email protected]
Weight:
1306 g
Height:
161 cm
Width:
240 cm
Thickness:
45 cm
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