Econometric Analysis

PART I. The Linear Regression Model 1.Econometrics 2. The Linear Regression Model 3. Least Squares 4. Estimating the Regression Model by Least Squares 5. Hypothesis Tests and Model Selection 6. Functional Form, Difference in Differences and Structural Change 7. Nonlinear, Semiparametric and Nonparametric Regression Models 8. Endogeneity and Instrumental Variable Estimation PART II. Generalized Regression Model and Systems of Equations 9. The Generalized Regression Model and Heteroscedasticity 10. Systems of Regression Equations 11. Models for Panel Data PART III. Estimation Methodology 12. Estimation Frameworks in Econometrics 13. Minimum Distance Estimation and the Generalized Method of Moments 14. Maximum Likelihood Estimation 15. Simulation-Based Estimation and Inference and Random Parameter Models 16. Bayesian Estimation and Inference PART IV. Cross Sections, Panel Data and Microeconometrics 17. Binary Outcomes and Discrete Choices 18. Multinomial Choices and Event Counts 19. Limited Dependent Variables, Truncation, Censoring and Sample Selection PART V. Time Series and Macroeconometrics 20. Serial Correlation 21. Nonstationary Data PART VI. Appendices Appendix A: Matrix Algebra Appendix B: Probability and Distribution Theory Appendix C: Estimation and Inference Appendix D: Large Sample Distribution Theory Appendix E: Computation and Optimization Appendix F: Data Sets Used In Applications