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CONTENTS




PART ONE Basic Statistical Theory
                                                                9. Estimation with Deficient Data
1. Introduction to Statistical Inference                        9-1 Errors of Measurement                             346
1-1     Basic Concepts of Statistical Inference   3             9-2 Estimation from Grouped Data                      366
1-2 The Nature of Statistical Inference           7             9-3 Estimation When Some Observations Are Missing 379
1- 3    Sampling Distributions                    9             Exercises                                             388
1 -4 Properties of Sampling Distributions         12            10. Multiple Regression
1 -5    Derivation of Sampling Distributions    15              10-1     Estimation of Regression Parameters          392
Exercises                                       16              10-2     Further Results of Statistical Inference     403
2. Experimental Derivation of Sampling Distributions            10-3     Multicollinearity                            430
                                                                10-4     Specification Errors                         442
2- 1    Sampling Distribution of Sample Proportion of           Exercises                                             455
Successes                                       20              11. Formulation and Estimation of Special Models
2- 2    Sampling Distribution of Sample Mean 24                 11-1     Models with Binary Regressors                461 +
Exercises                                       29              11-2     Models with Restricted Coefficients          476
3. Probability and Probability Distributions                    11-3 Nonlinear Models                                 503
3- 1    Sets and Sample Spaces                  34              11-4     Distributed Lag Models                       527
3-2 Permutations and Combinations               36              11-5     Models with Qualitative Dependent Variables 547
3-3     Basic Theorems of Probability Theory    43              11 -6 Models with Limited Dependent Variables         560
3-4     Bayes Theorem                           50              11-7     Models with Varying Coefficients             566
                                                                11-8     Models with Unobservable Variables           579
3-5     Discrete Random Variables and Probability               11-9     Disequilibrium Models                        587
Functions                                       53              11-10 Model Choice                                    593
3-6 Continuous Random Variables and Probability Fun             Exercises                                             600
ctions                                          59              12. Generalized Linear Regression Model and Its Applications
3- 7 Mathematical Expectation                       62          12-1     Generalized Linear Regression Model          607
Exercises                                           72          12-2 Pooling of Cross-section and Time-Series Data 616
4. Theoretical Derivation of Sampling Distributions             12-3     Seemingly Unrelated Regressions              635
4- 1 Sampling Distribution of Sample Proportion of Successes:   Exercises                                             648
Binomial Distribution                               78          13. Simultaneous Equation Systems                     651
4-2 Normal Distribution as the Limiting Case of Binomial        13-1     Description of Simultaneous Equation Systems 652
Distribution                                        85          13-2     The Identification Problem                   660
4- 3 Sampling Distribution of Sample Mean           97          13-3     Single-Equation Methods of Estimation        672
Exercises                                           108         13-4     System Methods of Estimation                 695
5. Tests of Hypotheses                                          13-5     Estimation of Models with Nonspherical Disturbances 704
5- 1 Design and Evaluation of Tests                 110         13-6     Comparison of Alternative Methods of Estimation and
5- 2 Distribution of Selected Test Statistics       135         Special Topics                                        711
Exercises                                           152         13-7     Analysis of Dynamic Econometric Models       723
6. Estimation                                                   Exercises                                             731
6- 1 Properties of Estimators                       156         APPENDIX                                              735
6-2 Methods of Estimation                           172         A. Algebra of Summations                              735
6-3 Confidence Intervals                            187         B. Elements of Matrix Algebra                         738
6-4 Bayesian Inference                              192         C. Asymptotic Distributions in Regression Models with Stochastic
Exercises 198                                                   Explanatory Variables by E. P. Howrey and S. H. Hymans 749
PART TWO Basic Econometric Theory                               D. Statistical Tables                                 758
7. Simple Regression                                            E. The Greek Alphabet                                 771
7-1 Relations Between Variables                    203          INDEX                                                 773
7-2 The Regression Model                           207
7-3 Estimation of the Regression Parameters        211
7- 4 Further Results of Statistical Inference      224
Exercises                                          256
8. Violations of Basic Assumptions
8- 1 Nonnormality and Nonzero Mean                 261
8-?.    I leteroskedasticity                       269
Autocorrelated Disturbances                        298
8-4 Stochastic Explanatory Variable                334
Exercises                                          341

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Elements Of Economertics 2nd

  • 1. CONTENTS PART ONE Basic Statistical Theory 9. Estimation with Deficient Data 1. Introduction to Statistical Inference 9-1 Errors of Measurement 346 1-1 Basic Concepts of Statistical Inference 3 9-2 Estimation from Grouped Data 366 1-2 The Nature of Statistical Inference 7 9-3 Estimation When Some Observations Are Missing 379 1- 3 Sampling Distributions 9 Exercises 388 1 -4 Properties of Sampling Distributions 12 10. Multiple Regression 1 -5 Derivation of Sampling Distributions 15 10-1 Estimation of Regression Parameters 392 Exercises 16 10-2 Further Results of Statistical Inference 403 2. Experimental Derivation of Sampling Distributions 10-3 Multicollinearity 430 10-4 Specification Errors 442 2- 1 Sampling Distribution of Sample Proportion of Exercises 455 Successes 20 11. Formulation and Estimation of Special Models 2- 2 Sampling Distribution of Sample Mean 24 11-1 Models with Binary Regressors 461 + Exercises 29 11-2 Models with Restricted Coefficients 476 3. Probability and Probability Distributions 11-3 Nonlinear Models 503 3- 1 Sets and Sample Spaces 34 11-4 Distributed Lag Models 527 3-2 Permutations and Combinations 36 11-5 Models with Qualitative Dependent Variables 547 3-3 Basic Theorems of Probability Theory 43 11 -6 Models with Limited Dependent Variables 560 3-4 Bayes Theorem 50 11-7 Models with Varying Coefficients 566 11-8 Models with Unobservable Variables 579 3-5 Discrete Random Variables and Probability 11-9 Disequilibrium Models 587 Functions 53 11-10 Model Choice 593 3-6 Continuous Random Variables and Probability Fun Exercises 600 ctions 59 12. Generalized Linear Regression Model and Its Applications 3- 7 Mathematical Expectation 62 12-1 Generalized Linear Regression Model 607 Exercises 72 12-2 Pooling of Cross-section and Time-Series Data 616 4. Theoretical Derivation of Sampling Distributions 12-3 Seemingly Unrelated Regressions 635 4- 1 Sampling Distribution of Sample Proportion of Successes: Exercises 648 Binomial Distribution 78 13. Simultaneous Equation Systems 651 4-2 Normal Distribution as the Limiting Case of Binomial 13-1 Description of Simultaneous Equation Systems 652 Distribution 85 13-2 The Identification Problem 660 4- 3 Sampling Distribution of Sample Mean 97 13-3 Single-Equation Methods of Estimation 672 Exercises 108 13-4 System Methods of Estimation 695 5. Tests of Hypotheses 13-5 Estimation of Models with Nonspherical Disturbances 704 5- 1 Design and Evaluation of Tests 110 13-6 Comparison of Alternative Methods of Estimation and 5- 2 Distribution of Selected Test Statistics 135 Special Topics 711 Exercises 152 13-7 Analysis of Dynamic Econometric Models 723 6. Estimation Exercises 731 6- 1 Properties of Estimators 156 APPENDIX 735 6-2 Methods of Estimation 172 A. Algebra of Summations 735 6-3 Confidence Intervals 187 B. Elements of Matrix Algebra 738 6-4 Bayesian Inference 192 C. Asymptotic Distributions in Regression Models with Stochastic Exercises 198 Explanatory Variables by E. P. Howrey and S. H. Hymans 749 PART TWO Basic Econometric Theory D. Statistical Tables 758 7. Simple Regression E. The Greek Alphabet 771 7-1 Relations Between Variables 203 INDEX 773 7-2 The Regression Model 207 7-3 Estimation of the Regression Parameters 211 7- 4 Further Results of Statistical Inference 224 Exercises 256 8. Violations of Basic Assumptions 8- 1 Nonnormality and Nonzero Mean 261 8-?. I leteroskedasticity 269 Autocorrelated Disturbances 298 8-4 Stochastic Explanatory Variable 334 Exercises 341