By Arthur S. Goldberger
Учебник по эконометрике на английском, рекомендованный 1 курсу магистратуры Российской экономической школы (РЭШ).This booklet is a wonderful selection for first yr graduate econometrics classes since it offers a high-quality origin in statistical reasoning in a way that's either transparent and concise. It addresses a couple of matters which are of imperative value to constructing practitioners and theorists alike and achieves this in a reasonably nontechnical manner...The subject matters addressed listed below are hardly ever given any such thorough remedy in econometrics textbooks. for instance, in discussions of bivariate distributions, Goldberger issues out that uncorrelated basic random variables will not be self sustaining, due to the fact that a nonnormal bivariate distribution can generate general marginal distributions. different texts generally depart readers with the influence that uncorrelated general random variables are self sufficient irrespective of their joint distribution...A direction in Econometrics is rigorous, it makes scholars imagine difficult approximately very important concerns, and it avoids a cookbook technique. For those purposes, I strongly suggest it as a simple textual content for all first yr graduate econometrics courses.
--Douglas G. Steigerwald (Econometric concept )[A direction in Econometrics] strike(s) the precise stability among mathematical rigour and intuitive consider. It goals to organize scholars for empirical learn but in addition those that pass directly to extra complex econometrics...The booklet is particularly transparent and intensely distinctive. it truly is outfitted on quite a few extremely simple innovations. i believe that scholars will love it greatly. I congratulate Professor Goldberger with having written a truly worthwhile book.
--Jan R. Magnus (Economic magazine )Undoubtedly the easiest Ph.D. point econometrics textbook to be had at the present time. The analogy precept of estimation serves to unify the therapy of quite a lot of themes which are on the origin of empirical economics. The notation is concise and continually used through the text...Students have expressed get pleasure from unraveling the proofs and lemmas. it is a excitement to coach from this publication. instructed for any critical economics scholar or somebody attracted to learning the foundations underlying utilized economics.
--Michael Hazilla, American University
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Extra info for A Course in Econometrics
D. (1978). Econometric models, techniques, and applications, McGraw-Hill. J. 4 Forecasting 43 Johnston, J. and Dinardo, J. (1997). Econometric Methods, McGraw-Hill. Kennedy, P. (1998). A guide to econometrics, Blackwell Publishers. Mantzapoulus, V. (1995). Statistics for the Social Sciences, Englewood Cliffs: Prentice Hall. Newbold, P. (1996). Statistics for business and economics, Prentice Hall, Englewood Cliffs. Newey, W. K. and McFadden, D. L. (1994). Large sample estimation and hypothesis testing, in R.
We can not only estimate the relationship between Y and X. With this estimation, we can use it to forecast or predict the value of the variable Y for any given value of X. Suppose that x* is a known value of the regressor, and we are interested in predicting y*, the value of Y associated with x*. 82) Thus, f)* is an unbiased conditional predictor of y*. 1 Confidence Interval for the Point Forecast Because a and (3 are estimated with imprecision, f)* is also subject to error. To take account of this, we compute the variance and confidence interval for the point predictor.
Basics Econometrics, McGraw-Hill. HardIe, W. and Simar, L. (1999). Applied Multivariate Statistical Analysis, Springer-Verlag. Intriligator, M. D. (1978). Econometric models, techniques, and applications, McGraw-Hill. J. 4 Forecasting 43 Johnston, J. and Dinardo, J. (1997). Econometric Methods, McGraw-Hill. Kennedy, P. (1998). A guide to econometrics, Blackwell Publishers. Mantzapoulus, V. (1995). Statistics for the Social Sciences, Englewood Cliffs: Prentice Hall. Newbold, P. (1996). Statistics for business and economics, Prentice Hall, Englewood Cliffs.
A Course in Econometrics by Arthur S. Goldberger