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  • ID: 2212117
  • Book
  • December 2000
  • 702 Pages
  • John Wiley and Sons Ltd
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In Econometrics the author has provided a text that bridges the gap between classical econometrics (with an emphasis on linear methods such as OLS, GLS and instrumental variables) and some of the key research areas of the last few years, including sampling problems, nonparametric methods and panel data analysis. Designed for advanced undergraduate and postgraduate students of the subject, Econometrics provides rigorous, yet accessible, coverage of the subject.

Key features include:

∗ A unified approach to statistical estimation emphasising the analogy (or bootstrap) principle

∗ An introduction to bootstrap and jackknife methods for assessing the accuracy of an estimator

∗ Detailed discussion of nonparametric methods for estimating density and regression functions

∗ Emphasis on diagnostic procedures and on prediction criteria for evaluating the results of statistical analysis

∗ An introduction to linear exponential family and generalized linear models

∗ A thorough discussion of robustness in statistical sense.
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Regression Models.


Time Series.

Point Estimation.

Statistical Accuracy and Hypothesis Testing.

The Classical Linear Model: Estimation.

Violations of the Ideal Conditions for OLS.

Diagnostics Based on the OLS Estimates.

The Classical Linear Model: Hypothesis Testing.

Asymptotic Properties of Least Squares Methods.

The Instrumental Variables Method.

Linear Models for Panel Data.

Linear Simultaneous Equation Models.

Nonparametric Methods.


Adaptive and Robust Regression Estimators.

Models for Discrete Responses.

Models for Truncated and Censored Data.


Appendix A: Review of Linear Algebra.

Appendix B: Methods of Numerical Maximization.

Appendix C: Review of Probability.

Appendix D: Elements of Asymptotic Theory.

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Franco Peracchi
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