Econometric Theory and Methods

Released on by Russell Davidson
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  • Econometric Theory and Methods Book Detail

  • Author : Russell Davidson
  • Release Date : 2009-04-30
  • Publisher : OUP Oxford
  • Genre : Business & Economics
  • Pages : 768
  • ISBN 13 : 9780195391053
  • File Size : 25,25 MB
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Econometric Theory and Methods by Russell Davidson PDF Summary

Book Description: Econometric Theory and Methods International Edition provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation.

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