A Guide to Modern Econometrics, 4th Edition
By <link people/marno-verbeek _self>Marno Verbeek</link>
A Guide to Modern Econometrics has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on the practical application of these approaches.
Features
The 4th Edition features:
- Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments.
- Intuitive presentation and discussion, with a focus on implementation and practical relevance.
- A large number of empirical illustrations taken from a wide variety of fields, including international economics, finance, labour economics and macroeconomics.Increased focus on robust inference and small sample properties.
- End-of-chapter exercises, both theoretical and empirical, reviewing key concepts.
- Updated and expanded coverage, on various topics such as missing data, outliers, forecast evaluation, the estimation of treatment effects and panel unit root tests.
- Supplementary material, including PowerPoint slides for lecturers, data sets of the empirical illustrations and exercises, and solutions to selected exercises in each chapter
New to this edition:
- Increased focus on robust inference and small sample properties.
- Updated and expanded coverage, on various topics such as missing data, outliers, forecast evaluation, the estimation of treatment effects and panel unit root tests.
Table of Contents
Preface xiii
- Introduction
- An Introduction to Linear Regression
- Interpreting and Comparing Regression Models
- Heteroskedasticity and Autocorrelation
- Endogenous Regressors, Instrumental Variables and GMM
- Maximum Likelihood Estimation and Specification Tests
- Models with Limited Dependent Variables
- Univariate Time Series Models
- Multivariate Time Series Models
- Models Based on Panel Data
A Vectors and Matrices
B Statistical and Distribution Theory
Bibliography
Index
