This book provides an introduction to econometrics through a thorough grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. By basing its approach on the underlying theory, it is able to cover fully the econometric theory required up to the intermediate level; its emphasis on mastering the concepts makes it an ideal introduction to the advanced texts and the econometric literature.
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Book Description
A thorough foundation in probability theory and statistical inference provides an introduction to the underlying theory of econometrics that motivates the student at a intuitive as well as a formal level.
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4 of 4 people found the following review helpful:
5.0 out of 5 stars
A Different Perspective in Econometrics,
By A Customer
This review is from: Statistical Foundations of Econometric Modelling (Paperback)
Spanos describes a different way of doing econometrics refocusing on the statistical properties of the data we are trying to investigate. Clearly stating and testing the statistical assumptions of any econometric model is central in his approach. A really good book.
4 of 4 people found the following review helpful:
3.0 out of 5 stars
very thorough, but at times sloppy with notation,
By A Customer
This review is from: Statistical Foundations of Econometric Modelling (Paperback)
Spanos does a good job integrating mathematical theory with the nuts-and-bolts stuff you'd expect from a standard econometrics text. Some have said that Spanos uses too much mathematical notation, but I found just the opposite: many of the passages suffer from ambiguities and outright errors; a more formal treatment would have improved the text considerably.
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Inside This Book
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First Sentence:
It is customary to begin a textbook by defining its subject matter. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
respecification approach, independent sample assumption, stochastic linear regression models, parameter time invariance, sample raw moments, empirical econometric model, dynamic linear regression model, misspecification testing, linear homogeneous restrictions, sampling model assumption, constructing optimal tests, parameter time dependence, estimable model, misspecification analysis, statistical model specification, multivariate linear regression model, likelihood ratio test procedure, autocorrelation approach, insufficient data information, sample information matrix, statistical inference results, estimated statistical model, common factor restrictions, observed data series, misspecification tests Key Phrases - Capitalized Phrases (CAPs): (learn more)
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
It is customary to begin a textbook by defining its subject matter. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
respecification approach, independent sample assumption, stochastic linear regression models, parameter time invariance, sample raw moments, empirical econometric model, dynamic linear regression model, misspecification testing, linear homogeneous restrictions, sampling model assumption, constructing optimal tests, parameter time dependence, estimable model, misspecification analysis, statistical model specification, multivariate linear regression model, likelihood ratio test procedure, autocorrelation approach, insufficient data information, sample information matrix, statistical inference results, estimated statistical model, common factor restrictions, observed data series, misspecification tests Key Phrases - Capitalized Phrases (CAPs): (learn more)
Time Fig, Political Arithmetik New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 97
books:
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38
books
cite this book:
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- Econometrics and Quantitative Economics by David F. Hendry on 4 pages
- Advances in Econometrics (Econometric Society Monographs) by Werner Hildenbrand in Back Matter (1), and Back Matter (2)
- Time Series Analysis: Forecasting & Control (3rd Edition) by George Box in Back Matter
- Foundations of econometrics (Advanced textbooks in economics ; v. 7) by Albert Madansky in Back Matter
- Almost Sure Convergence (Probability and Mathematical Statistics) by William F. Stout in Back Matter
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- The Structure of the Japanese Economy (Studies in the Modern Japanese Economy) by Mitsuaki Okabe on page 167
- Time Series Models: In econometrics, finance and other fields (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) by D.R. Cox on page 141
- The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data (Lecture Notes in Economics and Mathematical Systems) by Stefan Kokot in Back Matter
- Spatial Econometrics: Statistical Foundations and Applications to Regional Convergence (Advances in Spatial Science) by Giuseppe Arbia in Back Matter
- Econometric Modelling: Techniques and Applications (National Institute of Economic and Social Research Economic and Social Studies) by Sean Holly on page 37
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