Introduction to applied econometrics

摘要: 1. ECONOMIC DATA AND MODELS. Economic Data. Models. Descriptive Statistics Versus Statistical Inference. 2. STATISTICAL INFERENCE. Populations, Samples and Parameters. Sampling Distributions. Properties of Estimators. Derivation Hypothesis Testing. Further Topics in Inference is Conditional on the Model. Econometrics Statistics. Methodology Philosophy Science. 3. RELATIONSHIPS BETWEEN VARIABLES. Covariance Correlation. Regression. Deviation Form Notation. Conclusions. 4. SIMPLE REGRESSION. Model Specification. Least Squares Estimation. The Distributions a B. Decomposition Sample Variation. Presentation Regression Results. Scaling Units Measure. Sampling, Numerical, Invariance Properties. Application: Output Production Costs. 5. SUPPLEMENTARY TOPICS IN Forecasting. Through Origin. When Goes Wrong. 6. MATTERS OF FUNCTIONAL FORM. Loglinear Log-Lin Lin-Log Reciprocal Engel Curves. 7. APPLICATIONS TO PRODUCTION FUNCTIONS. General Features Functions. Cobb-Douglas Function. Technical Change. Testing Marginal Productivity Conditions. 8.MULTIPLE Electricity Demand. Multicollinearity. Quadratic Cost Misspecification. Pre-Test 9.APPLICATION GROWTH. Introduction. Textbook Solow-Swan Human Capital Summary: Mankiw, Romer, Weil Nutshell. 10. DUMMY VARIABLES RESTRICTED COEFFICIENTS. Dummy Variables. Restricted Coefficients. Identification. 11. COST Deriving Using Returns to Scale Generation. Translog Consumer Reading. 12. MODEL DISCOVERY. Data Mining. Specification Non-nested Choice. Should Equation Be Part System? 13. NONLINEAR Nonlinear Squares. Computer Numerics. Reparameterization. NLS Estimating Sigma 14. HETEROSKEDASTICITY. Consequences for Ordinary Heteroskedasticity-Robust Tests. Weighted Heteroskedasticity. 15. TIME SERIES: SOME BASIC CONCEPTS. White Noise. Measuring Temporal Dependence. Stationarity Nonstationarity. Trend Stationary Processes. A Random Walk. Walk with Drift. Key Walks. 16. FLUCTUATIONS. Moving Average Autoregressive Condition. Autoregressive-Moving 17. TRENDS. Constant Growth Revisited. Difference Stochastic Trends. Higher Orders Integration. 18. COINTEGRATION. Long Run Relationships Between Arithmetic Integrated Cointegration. Engle-Granger Test Restrictions Cointegrating Vector. Error Correction ECM VAR. Rank. Conclusions APPENDIX A: LAWS SUMMATION DEVIATION Laws Summation. Form. B: DISTRIBUTION THEORY. Variables Probability Distribution. Mathematical Expectation. Expected Value Variance. Variance Standardized Bivariate Independence. Functions Two Linear Combination. Expectation Variance: Summary. ON CD-ROM C: PORTFOLIO THEORY THE CAPM (OPTIONAL). Risky Assets. Portfolios. Markowitz Frontier. Tobin Diversification Effect. Portfolio Optimization. REFERENCES. TABLES.