Text
A Guide to modern econometrics 3rd ed
The field of econometrics has developed rapidly in the last two decades, while the use of up-to-date econometric techniques has become more and more standard practice in empirical work in many fields of economics. Typical topics include unit root tests, cointegration, estimation by the generalized method of moments, heteroskedasticity and autocorrelation consistent standard errors, modelling conditional heteroskedasticity, models based on panel data, and models with limited dependent variables, endogenous regressors and sample selection. At the same time econometrics software has become more and more user friendly and up-to-date. As a consequence, users are able to implement fairly advanced techniques even without a basic understanding of the underlying theory and without realizing potential drawbacks or dangers. In contrast, many introductory econometrics textbooks pay a disproportionate amount of attention to the standard linear regression model under the strongest set of assumptions. Needless to say that these assumptions are hardly satisfied in practice (but not really needed either). On the other hand, the more advanced econometrics textbooks are often too technical or too detailed for the average economist to grasp the essential ideas and to extract the information that is needed. This book tries to fill this gap. The goal of this book is to familiarize the reader with a wide range of topics in modern econometrics, focusing on what is important for doing and understanding empirical work. This means that the text is a guide to (rather than an overview of) alternative techniques. Consequently, it does not concentrate on the formulae behind each technique (although the necessary ones are given) nor on formal proofs, but on the intuition behind the approaches and their practical relevance. The book covers a wide range of topics that is usually not found in textbooks at this level. In particular, attention is paid to cointegration, the generalized method of moments, models xiv PREFACE with limited dependent variables and panel data models. As a result, the book discusses developments in time series analysis, cross-sectional methods as well as panel data modelling. Throughout, a few dozen full-scale empirical examples and illustrations are provided, taken from fields like labour economics, finance, international economics, consumer behaviour, environmental economics and macro-economics. In addition, a number of exercises are of an empirical nature and require the use of actual data. For the second edition, I have tried to fine-tune and update the text, adding additional discussion, material and more recent references, whenever necessary or desirable. The material is organized and presented in a similar way as in the first edition. Some topics that were not or only limitedly included in the first edition now receive much more attention. Most notably, new sections covering count data models, duration models and the estimation of treatment effects in Chapter 7, and panel data unit root and cointegration tests in Chapter 10 are added. Moreover, Chapter 2 now includes a subsection on Monte Carlo simulation. At several places, I pay more attention to the possibility that small sample distributions of estimators and test statistics may differ from their asymptotic approximations. Several new tests have been added to Chapters 3 and 5, and the presentation in Chapters 6 and 8 has been improved. At a number of places, empirical illustrations have been updated or added. As before, (almost) all data sets are available through the book?s website. This text originates from lecture notes used for courses in Applied Econometrics in the M.Sc. programs in Economics at K. U. Leuven and Tilburg University. It is written for an intended audience of economists and economics students that would like to become familiar with up-to-date econometric approaches and techniques, important for doing, understanding and evaluating empirical work. It is very well suited for courses in applied econometrics at the masters or graduate level. At some schools this book will be suited for one or more courses at the undergraduate level, provided students have a sufficient background in statistics. Some of the later chapters can be used in more advanced courses covering particular topics, for example, panel data, limited dependent variable models or time series analysis. In addition, this book can serve as a guide for managers, research economists and practitioners who want to update their insufficient or outdated knowledge of econometrics. Throughout, the use of matrix algebra is limited. I am very much indebted to Arie Kapteyn, Bertrand Melenberg, Theo Nijman, and Arthur van Soest, who all have contributed to my understanding of econometrics and have shaped my way of thinking about many issues. The fact that some of their ideas have materialized in this text is a tribute to their efforts. I also owe many thanks to several generations of students who helped me to shape this text into its current form. I am very grateful to a large number of people who read through parts of the manuscript and provided me with comments and suggestions on the basis of the first edition. In particular, I wish to thank Peter Boswijk, Bart Capeau, Geert Dhaene, Tom Doan, ? Peter de Goeij, Joop Huij, Ben Jacobsen, Jan Kiviet, Wim Koevoets, Erik Kole, Marco Lyrio, Konstantijn Maes, Wessel Marquering, Bertrand Melenberg, Paulo Nunes, Anatoly Peresetsky, Max van de Sande Bakhuyzen, Erik Schokkaert, Arthur van Soest, Frederic Vermeulen, Guglielmo Weber, Olivier Wolthoorn, Kuo-chun Yeh and a number of anonymous reviewers. Of course I retain sole responsibility for any remaining PREFACE xv errors. Special thanks go to Jef Flechet for his help with many empirical illustrations and his constructive comments on many previous versions. Finally, I want to thank my wife Marcella and our three children, Timo, Thalia and Tamara, for their patience and understanding for all the times that my mind was with this book, while it should have been with them.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| Tan 330. 015 195 Ver g | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Hobogen: John Wiley & Sons 2008 |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | - |
| Klasifikasi | NONE |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |