Econometrics by Example

416 Pages·2016·4.15 MB·English

by  Damodar Gujarati

Econometrics
by Example
DamodarGujarati,BasicEconometrics(McGraw-Hill,USA)
DamodarGujarati,EssentialsofEconometrics(McGraw-Hill,USA)
DamodarGujarati,GovernmentandBusiness(McGraw-Hill,USA)
Econometrics
by Example
Damodar Gujarati
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Short contents
Preface xv
Acknowledgments xix
Apersonalmessagefromtheauthor xxi
Listoftables xxiii
Listoffigures xxix
PartI
1 Thelinearregressionmodel:anoverview 2
2 Functionalformsofregressionmodels 25
3 Qualitativeexplanatoryvariablesregressionmodels 47
PartII
4 RegressiondiagnosticI:multicollinearity 68
5 RegressiondiagnosticII:heteroscedasticity 82
6 RegressiondiagnosticIII:autocorrelation 97
7 RegressiondiagnosticIV:modelspecificationerrors 114
PartIII
8 Thelogitandprobitmodels 152
9 Multinomialregressionmodels 166
10 Ordinalregressionmodels 180
11 Limiteddependentvariableregressionmodels 191
12 Modelingcountdata:thePoissonandnegative
binomialregressionmodels 203
PartIV
13 Stationaryandnonstationarytimeseries 216
14 Cointegrationanderrorcorrectionmodels 234
15 Assetpricevolatility:theARCHandGARCHmodels 248
16 Economicforecasting 261
17 Paneldataregressionmodels 289
18 Survivalanalysis 306
19 Stochasticregressorsandthemethodofinstrumentalvariables 319
Appendices
1 Datasetsusedinthetext 350
2 Statisticalappendix 356
Index 376

Contents
Preface xv
Acknowledgments xix
Apersonalmessagefromtheauthor xxi
Listoftables xxiii
Listoffigures xxix
PartI Thelinearregressionmodel 1
Chapter1 Thelinearregressionmodel:anoverview 2
1.1 Thelinearregressionmodel 2
1.2 Thenatureandsourcesofdata 5
1.3 Estimationofthelinearregressionmodel 6
1.4 Theclassicallinearregressionmodel(CLRM) 8
1.5 VariancesandstandarderrorsofOLSestimators 10
1.6 Testinghypothesesaboutthetrueorpopulationregressioncoefficients 11
1.7 R2:ameasureofgoodnessoffitoftheestimatedregression 13
1.8 Anillustrativeexample:thedeterminantsofhourlywages 14
1.9 Forecasting 19
1.10 Theroadahead 19
Exercise 21
Appendix:Themethodofmaximumlikelihood 22
Chapter2 Functionalformsofregressionmodels 25
2.1 Log-linear,double-log,orconstantelasticitymodels 25
2.2 Testingvalidityoflinearrestrictions 29
2.3 Log-linorgrowthmodels 30
2.4 Lin-logmodels 34
2.5 Reciprocalmodels 36
2.6 Polynomialregressionmodels 37
2.7 Choiceofthefunctionalform 40
2.8 Comparinglinearandlog-linearmodels 40
2.9 Regressiononstandardizedvariables 41
2.10 Measuresofgoodnessoffit 43
2.11 Summaryandconclusions 45
Exercises 45