This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.
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This is the second volume in a major two-volume set of advanced texts in econometrics. It is a work of synthesis that covers both the basic and more sophisticated models. The books are distinctive for their attention to intuitive reasoning and the presentation of many real-world economic examples.
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First Sentence:
The purpose of the methods described in the first volume is to specify and estimate, on the basis of the data, a model of which the validity is not questioned. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
inequality constrained estimator, test with asymptotic level, preceding test statistics, whose generic term, unconstrained maximum likelihood estimator, unconstrained estimator, nonrandomized test, test whose critical region, pseudo true value, classical test statistics, risk diagram, test with critical region, extremum estimators, next property shows, bijective relationship, score test statistic, asymptotically equivalent test statistic, absolutely continuous probability distribution, asymptotic least squares, classical testing procedures, pseudo model, information matrix test, constrained estimators, asymptotic variance covariance matrix, nesting model Key Phrases - Capitalized Phrases (CAPs): (learn more)
Neyman-Pearson Theorem, The Annals of Mathematical Statistics, Central Limit Theorem, Journal of Econometrics, Mean Value Theorem, Statistical Inference, Testing Statistical Hypotheses, Academic Press, Handbook of Econometrics, Review of Economic Studies New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
The purpose of the methods described in the first volume is to specify and estimate, on the basis of the data, a model of which the validity is not questioned. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
inequality constrained estimator, test with asymptotic level, preceding test statistics, whose generic term, unconstrained maximum likelihood estimator, unconstrained estimator, nonrandomized test, test whose critical region, pseudo true value, classical test statistics, risk diagram, test with critical region, extremum estimators, next property shows, bijective relationship, score test statistic, asymptotically equivalent test statistic, absolutely continuous probability distribution, asymptotic least squares, classical testing procedures, pseudo model, information matrix test, constrained estimators, asymptotic variance covariance matrix, nesting model Key Phrases - Capitalized Phrases (CAPs): (learn more)
Neyman-Pearson Theorem, The Annals of Mathematical Statistics, Central Limit Theorem, Journal of Econometrics, Mean Value Theorem, Statistical Inference, Testing Statistical Hypotheses, Academic Press, Handbook of Econometrics, Review of Economic Studies New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
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This book cites 9
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31
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- Testing Statistical Hypotheses (Springer Texts in Statistics) by Erich L. Lehmann on 4 pages
- Statistical Inference (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) by S.D. Silvey on page 16, page 133, and page 231
- Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics) by Halbert White on page 177, and page 404
- Theoretical Statistics by D.R. Cox on page 231
- Statistical Inference by Clifford Springer on page 177
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- Econometrics of Qualitative Dependent Variables (Themes in Modern Econometrics) by Christian Gourieroux in Front Matter (1), and Front Matter (2)
- Econometric Methods with Applications in Business and Economics by Christiaan Heij on page 178, and page 266
- ARCH Models and Financial Applications (Springer Series in Statistics) by Christian Gourieroux in Back Matter (1), and Back Matter (2)
- An Introduction to Classical Econometric Theory by Paul A. Ruud in Back Matter
- Analysis of Panels and Limited Dependent Variable Models (Studies in Monetary & Financial History) by Cheng Hsiao on page 47
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