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Principles of Econometrics, 3rd Edition
R. Carter Hill,
Louisiana State University
William E. Griffiths,
University of Melbourne, Australia
Guay C. Lim,
University of Melbourne, Australia
ISBN: 978-0-471-72360-8
©2008
608 pages
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New to This Edition
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- Additional emphasis is given to model interpretation, especially for nonlinear relationships involving logarithms.
- Feasible generalized least squares estimation of heteroskedastic error models & more general tests for the like are introduced in Chapter 8.
- Distributed lag models, lagged dependent variable models, and autocorrelation are combined and integrated in Chapter 9.
- Problems created by correlation between the regression error term and explanatory variables are treated in Chapter 10.
- Chapter 12 presents the complexities of using nonstationary time-series data in regression analysis.
- Models useful in macroeconomics, including the concepts of vector error correction models and vector autoregressive models, are investigated in Chapter 13.
- Students are introduced to Financial Econometrics in Chapter 14.
- In addition to probit and logit, Chapter 16 now contains additional material on multinomial choice and ordered choice models.
- Math essentials, including exponents and logarithms, as well as the nature of linear and nonlinear relationships are reviewed in Appendix A.
- Appendix C contains statistical inference concepts of estimation, sampling properties, and hypothesis tests.
- Exercises are now divided into sections labeled "Problems" and "Computer Exercises".
- Solutions to selected exercises appear at the end of the book.
- Algebraic proofs and extensions are now presented in short chapter appendices.
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