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Statistical Foundations of Econometric Modelling

Statistical Foundations of Econometric Modelling

$104.99

  • Date Published: November 1989
  • availability: Available
  • format: Paperback
  • isbn: 9780521269124

$104.99
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  • This book provides an introduction to econometrics through a thorough grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. By basing its approach on the underlying theory, it is able to cover fully the econometric theory required up to the intermediate level; its emphasis on mastering the concepts makes it an ideal introduction to the advanced texts and the econometric literature.

    • Comprehensive introduction to econometric modelling
    • Encourages mastering of fundamental theoretical concepts geared towards problem-solving
    • Clear layout
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    Product details

    • Date Published: November 1989
    • format: Paperback
    • isbn: 9780521269124
    • length: 720 pages
    • dimensions: 229 x 152 x 40 mm
    • weight: 1.04kg
    • contains: 70 b/w illus. 12 tables 97 exercises
    • availability: Available
  • Table of Contents

    Foreword David Hendry
    Preface
    Acknowledgements
    Part I. Introduction:
    1. Econometric modelling, a preliminary view
    2. Descriptive study of data
    Part II. Probability Theory:
    3. Probability
    4. Random variables and probability distributions
    5. Random vectors and their distributions
    6. Functions of random variables
    7. The general notion of expectation
    8. Stochastic processes
    9. Limit theorems
    10. Introduction to asymptotic theory
    Part III. Statistical Inferences:
    11. The nature of statistical inference
    12. Estimation I - properties of estimators
    13. Estimation II - methods
    14. Hypothesis testing and confidence regions
    15. The multivariate normal distribution
    16. Asymptotic test procedures
    Part IV. The Linear Regression and Related Statistical Models:
    17. Statistical models in econometrics
    18. The Gauss linear model
    19. The linear regression model I - specification, estimation and testing
    20. the linear regression model II - departures from the assumptions underlying the statistical GM
    21. The linear regression model III- departures from the assumptions underlying the probability model
    22. The linear regression model IV - departures from the sampling model assumption
    23. The dynamic linear regression model
    24. The multivariate linear regression model
    25. The simultaneous equations model
    26. Epilogue: towards a methodology of econometric modelling
    References
    Index.

  • Author

    Aris Spanos, University of Cyprus

    Foreword

    David Hendry, Nuffield College, Oxford

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