Statistical Methods in Econometrics

By: Ramu Ramanathan

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Hardcover | 7 January 1993

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Hardcover
416 Pages

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27.0 x 152.0 x 229.0

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Statistical Methods in Econometrics is appropriate for beginning graduate courses in mathematical statistics and econometrics in which the foundations of probability and statistical theory are developed for application to econometric methodology. Because econometrics generally requires the study of several unknown parameters, emphasis is placed on estimation and hypothesis testing involving several parameters. Accordingly, special attention is paid to the multivariate normal and the distribution of quadratic forms. Lagrange multiplier tests are discussed in considerable detail, along with the traditional likelihood ration and Wald tests. Characteristic functions and their properties are fully exploited. Also asymptotic distribution theory, usually given only cursory treatment, is discussed in detail.
The book assumes a working knowledge of advanced calculus (including integral calculus) basic probability and statistics, and linear algebra. Important properties from matrix algebra are summarized in the appendix. Numerous examples, exercises, and practice problems are included.
Key Features
* Covers both multivariate analysis and matrix algebra
* Focuses on newer tests of hypotheses such as the Lagrange multiplier test
* Discusses characteristic functions in depth
* Material has evolved during 15 years of classroom instruction

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Probability Theory: Introduction
Basic Probability
Random Variables and Distributions
Some Special Distributions
Multivariate Distributions
Statistical Inference: Sampling Theory
Asymptotic Distribution Theory
Estimation
Tests of Hypothesis
Econometrics: Multiple Regression
Functional Forms and Dummy Variables
Nonspherical Disturbances
Appendixes
References
Author Index
Subject Index
Table of Contents provided by Publisher. All Rights Reserved.

Statistical Methods in Econometrics

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Hardcover

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