計量經(jīng)濟學：英文版

定　價：￥86.00

作　者：	（）Badi H.Baltagi著
出版社：	世界圖書出版公司北京公司
叢編項：
標　簽：	經(jīng)濟學

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ISBN：	9787506272629	出版時間：	2005-06-01	包裝：	平裝
開本：	26cm	頁數(shù)：	401	字數(shù)：

內(nèi)容簡介

　　本書是一部闡述計量經(jīng)濟學基本方法和基本假定的教科書，其中也包括時序、有界相關(guān)變量、數(shù)據(jù)模型、高斯-牛頓回歸和回歸診斷等前沿課題。各章有幫助理解書中所述內(nèi)容的理論分析題。目次：第一部分：什么是計量經(jīng)濟學；統(tǒng)計學基本概念；簡單線性回歸；多重回歸分析；違反經(jīng)典假定；分布滯后和動態(tài)模型。第二部分：一般線性模型基礎(chǔ)；回歸診斷和分類測試；廣義最小二乘法；看似不相關(guān)的回歸；聯(lián)立方程模型；截面數(shù)據(jù)的合并時序；有界相關(guān)變量；時序模型。讀者對象：數(shù)學及經(jīng)濟專業(yè)的研究生。

作者簡介

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圖書目錄

Preface
TableofContents
PartI
1WhatisEconometrics?
1.1Introduction
1.2ABriefHistory
1.3CritiquesofEconometrics
1.4LookingAhead
Notes
References
2BasicStatisticalConcepts
2.1Introduction
2.2MethodsofEstimation
2.3PropertiesofEstimators
2.4HypothesisTesting
2.5ConfidenceIntervals
2.6DescriptiveStatistics
Notes
Problems
References
Appendix
SimpleLinearRegression
3.1Introduction
312LeastSquaresEstimationandtheClassicalAssumptions
3.3StatisticalPropertiesofLeastSquares
3.4Estimationofσ2
3.5MaximumLikelihoodEstimatior
3.6AMeasureofFit
3.7Prediction
3.8ResidualAnalysis
3.9NumericalExample
3.10EmpiricalExample
Problems
References
Appendix
4MultipleRegressionAnalysis
4.1Introduction
4.2LeastSquaresEstimation
4.3ResidualInterpretationofMultipleRegressionEstimates
4.4OverspecificationandUnderspecificationoftheRegressionEquation
4.5R-SquaredversusR-Bar-Squared
4.6TestingLinearRestrictions
4.7DummyVariables
Note
Problems
References
Appendix
5ViolationsoftheClassicalAssumptions
5.1Introduction
5.2TheZeroMeanAssumption
5.3StochasticExplanatoryVariables
5.4NormalityoftheDisturbances
5.5Heteroskedasticity
5.6Autocorrelation
Notes
Problems
References
6DistributedLagsandDynamicModels
6.1Introduction
6.2InfiniteDistributedLag
6.2.1AdaptiveExpectationsModel(AEM)
6.2.2PartialAdjustmentModel(PAM)
6.3EstimationandTestingofDynamicModelswithSerialCorrelation
6.3.1ALaggedDependentVariableModelwithAR(1)Disturbances
6.3.2ALaggedDependentVariableModelwithMA(1)Disturbances
6.4AutoregressiveDistributedLag
Note
Problems
References
PartII
7TheGeneralLinearModel:TheBasics
7.1Introduction
7.2LeastSquaresEstimation
7.3PartitionedRegressionandtheFrisch-Waugh-LovellTheorem
7.4MaximumLikelihoodEstimation
7.5Prediction
7.6ConfidenceIntervalsandTestofHypotheses
7.7JointConfidenceIntervalsandTestofHypotheses
7.8RestrictedMLEandRestrictedLeastSquares
7.9LikelihoodRatio,WaldandLagrangeMultiplierTests
Notes
Problems
References
Appendix
8RegressionDiagnosticsandSpecificationTests
8.1InfluentialObservations
8.2RecursiveResiduals
8.3SpecificationTests
8.4NonlinearLeastSquaresandtheGauss-NewtonRegression
8.5TestingLinearversusLog-LinearFunctionalForm
Notes
Problems
References
9GeneralizedLeastSquares
9.1Introduction
9.2GeneralizedLeastSquares
9.3SpecialFormsofΩ
9.4MaximumLikelihoodEstimation
9.5TestofHypotheses
9.6Prediction
9.7UnknownΩ
9.8TheW,LRandLMStatisticsRevisited
9.9SpatialErrorCorrelation
Note
Problems
References
10SeeminglyUnrelatedRegressions
10.1Introduction
10.2FeasibleGLSEstimation
10.3TestingDiagonalityoftheVariance-CovarianceMatrix
10.4SeeminglyUnrelatedRegressionswithUnequalObservations
10.5EmpiricalExample
Problems
References
11SimultaneousEquationsModel
11.1Introduction
11.1.1SimultaneousBias
11.1.2TheIdentificationProblem
11.2SingleEquationEstimation:Two-StageLeastSquares
11.3SystemEstimation:Three-StageLeastSquares
11.4TheIdentificationProblemRevisited:TheRankConditionofIdentification
11.5TestforOver-IdentificationRestrictions
11.6Hausman'sSpecificationTest
11.7EmpiricalExample
Note
Problems
References
12PoolingTime-SeriesofCross-SectionData
12.1Introduction
12.2TheErrorComponentsProcedure
12.2.1TheFixedEffectsModel
12.2.2TheRandomEffectsModel
12.2.3MaximumLikelihoodEstimation
12.2.4Prediction
12.2.5EmpiricalExample
12.2.6TestinginaPooledModel
12.3Time-WiseAutocorrelatedandCross-SectionallyHeteroskedasticProcedures
12.4AComparisonoftheTwoProcedures
Problems
References
13LimitedDependentVariables
13.1Introduction
13.2TheLinearProbabilityModel
13.3FunctionalForm:LogitandProbit
13.4GroupedData
13.5IndividualData:ProbitandLogit
13.6TheBinaryResponseModelRegression
13.7AsymptoticVariancesforPredictionsandMarginalEffects
13.8GoodnessofFitMeasures
13.9EmpiricalExample
13.10MultinomialChoiceModels
13.10.1OrderedResponseModels
13.10.2UnorderedResponseModels
13.11TheCensoredRegressionModel
13.12TheTruncatedRegressionModel
13.13SampleSelectivity
Notes
Problems
References
Appendix
14Time-SeriesAnalysis
14.1Introduction
14.2Stationarity
14.3TheBoxandJenkinsMethod
14.4VectorAutoregression
14.5UnitRoots
14.6TrendStationaryversusDifferenceStationary
14.7Cointegration
14.8AutoregressiveConditionalHeteroskedasticity
Note
Problems
References
Appendix
ListofFigures
ListofTables
Index