Statistical Foundations of Econometric Modelling

Aris Spanos; David Hendry

doi:10.1017/CBO9780511599293

This textbook provides an introduction to econometrics through a 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. It encourages the mastering of fundamental concepts and theoretical perspectives which guide the formulation and solution of problems in econometric modelling. This makes it an ideal introduction to empirical econometric modelling and the more advanced econometric literature. It is recommended for use on courses giving students a thorough grounding in econometrics at undergraduate or graduate level.

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Contents

Frontmatter
pp i-iv
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Contents
pp v-x
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Foreword by David Hendry
pp xi-xiv
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Preface
pp xv-xix
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Acknowledgements
pp xx-xx
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List of symbols and abbreviations
pp xxi-xxiv
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Part I - Introduction
pp 1-2
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1 - Econometric modelling, a preliminary view
pp 3-22
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2 - Descriptive study of data
pp 23-30
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Part II - Probability theory
pp 31-32
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3 - Probability
pp 33-46
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4 - Random variables and probability distributions
pp 47-77
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5 - Random vectors and their distributions
pp 78-95
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6 - Functions of random variables
pp 96-115
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7 - The general notion of expectation
pp 116-129
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8* - Stochastic processes
pp 130-164
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9 - Limit theorems
pp 165-182
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10* - Introduction to asymptotic theory
pp 183-210
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Part III - Statistical inference
pp 211-212
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11 - The nature of statistical inference
pp 213-230
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12 - Estimation I – properties of estimators
pp 231-251
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13 - Estimation II – methods
pp 252-284
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14 - Hypothesis testing and confidence regions
pp 285-311
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15* - The multivariate normal distribution
pp 312-325
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16* - Asymptotic test procedures
pp 326-336
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Part IV - The linear regression and related statistical models
pp 337-338
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17 - Statistical models in econometrics
pp 339-356
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18 - The Gauss linear model
pp 357-368
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19 - The linear regression model I – specification, estimation and testing
pp 369-411
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20 - The linear regression model II – departures from the assumptions underlying the statistical GM
pp 412-442
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Statistical Foundations of Econometric Modelling

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