Advanced Econometric Methods

Online-Ressource (XIX, 624 p)

online resource

1 Introduction2 Review of Ordinary Least Squares and Generalized Least Squares -- 3 Point Estimation and Tests of Hypotheses in Small Samples -- 4 Large Sample Point Estimation and Tests of Hypotheses -- 5 Stochastic Regressors -- 6 Use of Prior Information -- 7 Preliminary Test and Stein-Rule Estimators -- 8 Feasible Generalized Least Squares Estimation -- 9 Heteroscedasticity -- 10 Autocorrelation -- 11 Lagged Dependent Variables and Autcorrelation -- 12 Unobservable Variables -- 13 Multicollinearity -- 14 Varying Coefficient Models -- 15 Models That Combine Time-Series and Cross-Section Data -- 16 The Analysis of Models with Qualitative or Censored Dependent Variables -- 17 Distributed Lags -- 18 Uncertainty in Model Specification and Selection -- 19 Introduction to Simultaneous Equations Models -- 20 Identification -- 21 Limited Information Estimation -- 22 Full Information Estimation -- 23 Reduced Form Estimation and Prediction in Simultaneous Equations Models -- 24 Properties of Dynamic Simultaneous Equations Models -- 25 Special Topics in Simultaneous Equations -- Appendix Estimation and Inference in Nonlinear Statistical Models -- A.1 Nonlinear Optimization -- A.1.1 Method of Steepest Ascent -- A.1.2 The Method of Newton -- A.1.3 Method of Quadratic Hill Climbing -- A.1.4 Numerical Differentiation -- A.2 Maximum Likelihood Estimation -- A.2.1 Use of the Method of Newton -- A.2.2 Method of Scoring -- A.2.3 The Method of Berndt, Hall, Hall, and Hausman -- A.2.4 Asymptotic Tests Based on the Maximum Likelihood Method -- A.2.4a The Wald Test -- A.2.4b The Lagrange-Multiplier Test -- A.2.4c The Likelihood Ratio Test Statistic -- A.2.4d Concluding Remarks -- A.3 Nonlinear Regression -- A.4 Summary and Guide to Further Readings -- A.5 References.

10.1007/978-1-4419-8746-4 [DOI]

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