This book is intended for graduate instruction in subjects like econometrics, economics, environmental science, social science and many other fields, at the Masters or PhD levels. It can be used as a textbook or as a reference guide. It covers a wide range of topics related to tools used in cross-sectional, time series and panel data. There are several aspects in which this book departs from traditional treatments. The emphasis is on understanding the main issues, concepts and methods in Econometrics, how to implement them and interpret the results. The mathematical aspects are kept to a minimum as the aim is to provide an intuitive understanding of how various parts fit together, as opposed to a sophisticated mathematical treatment of the subject. Many examples and discussions are provided. Hence, minimal mathematical pre-requisites are needed. Extensive references are also provided to dig deeper into the mathematical aspects of the theories. Volume 1 deals with the main methods used for inference and hypothesis testing which are applicable to both time series and cross-section data within a unified framework, with special emphasis on how the conditions and methods differ for each. It also includes a discussion of methods applicable only to a cross-section of data (usually a random sample) and to panel data with a small time-dimension. Cases with a large number of predictors are also covered.
Contents:
- Geometric Interpretation of Least Squares
- Properties of Least-Squares Projections
- Types of Data, Randomness, and Other Issues
- The Basic Linear Model: Finite Sample Results
- Restricted Least Squares
- Normal Distribution Theory
- The Basic Linear Model: Asymptotic Results
- Introduction to Time Series
- Issues Related to Hypothesis Testing
- Instrumental Variables
- OLS with non i.i.d. Errors
- The GLS Estimator
- Feasible GLS
- Multivariate Regressions
- Maximum Likelihood
- Nonlinear Regressions
- The Trinity of Test Procedures
- Examples of Test Statistics
- Misspecified Models
- Some Pitfalls of Testing Procedures
- Unit Roots and Cointegration
- Simultaneous Equation Models
- Generalized Method of Moments
- Simulated Method of Moments
- Quantile Regressions
- Non-parametric Methods
- Limited Dependent Variables I
- Limited Dependent Variables II
- Treatment Effect
- Linear Panel Data Models: Large N–Small T
- Principle Components
- Demand System Estimation
- Lasso
- Review of Matrix Algebra
- A Brief Review of Asymptotic Results
Readership: For graduate students in econometrics and researchers (academia, industry, consulting) in fields such as economics, environmental science, social science and many others.
