title: A Guide to Econometrics
author: Kennedy, Peter.
publisher: MIT Press
isbn10 | asin: 0262112353
print isbn13: 9780262112352
ebook isbn13: 9780585202037
language: English
subject Econometrics.
publication date: 1998
lcc: HB139.K45 1998eb
ddc: 330/.01/5195
subject: Econometrics.
cover
Page iii
A Guide to Econometrics
Fourth Edition
Peter Kennedy
Simon Fraser University
The MIT Press
Cambridge, Massachusetts
page_iii
Page iv
1998 Peter Kennedy
All rights reserved. No part of this book may be reproduced in any form
or by any electronic or mechanical means (including photocopying,
recording, or information storage and retrieval), without permission in
writing from the publisher.
Printed and bound in The United Kingdom by TJ International.
ISBN 0-262 11235-3 (hardcover), 0-262-61140-6 (paperback)
Library of Congress Catalog Card Number: 98-65110
page_iv
Contents
Preface
I
Introduction
1.1
What is Econometrics?
1.2
The Disturbance Term
1.3
Estimates and Estimators
1.4
Good and Preferred Estimators
General Notes
Technical Notes
2
Criteria for Estimators
2.1
Introduction
2.2
Computational Cost
2.3
Least Squares
2.4
Highest R2
2.5
Unbiasedness
2.6
Efficiency
2.7
Mean Square Error (MSE)
2.8
Asymptotic Properties
2.9
Maximum Likelihood
2.10
Monte Carlo Studies
2.11
Adding Up
General Notes
Technical Notes
3
The Classical Linear Regression Model
3.1
Textbooks as Catalogs
3.2
The Five Assumptions
3.3
The OLS Estimator in the CLR Model
General Notes
Technical Notes
page_v
4
Interval Estimation and Hypothesis Testing
4.1
Introduction
4.2
Testing a Single Hypothesis: the t Test
4.3
Testing a Joint Hypothesis: the F Test
4.4
Interval Estimation for a Parameter Vector
4.5
LR, W, and LM Statistics
4.6
Bootstrapping
General Notes
Technical Notes
5
Specification
5.1
Introduction
5.2
Three Methodologies
5.3
General Principles for Specification
5.4
Misspecification Tests/Diagnostics
5.5
R2 Again
General Notes
Technical Notes
6
Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter
Inconstancy
6.1
Introduction
6.2
Incorrect Set of Independent Variables
6.3
Nonlinearity
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