Introduction to Econometrics

Foreword. Preface to the Second Edition. Preface to the Third Edition. Obituary. INTRODUCTION AND THE LINEAR REGRESSION MODEL. What is Econometrics? Statistical Background and Matrix Algebra. Simple Regression. *Multiple Regression. VIOLATION OF THE ASSUMPTIONS OF THE BASIC MODEL. *Heteroskedasticity. *Autocorrelation. Multicollinearity. *Dummy Variables and Truncated Variables. Simultaneous Equations Models. Nonlinear Regression, Models of Expectations, and Nonnormality. Errors in Variables. SPECIAL TOPICS. Diagnostic Checking, Model Selection, and Specification Testing. *Introduction to Time--Series Analysis. Vector Autoregressions, Unit Roots, and Cointegration. *Panel Data Analysis. *Large--Sample Theory. *Small--Sample Inference: Resampling Methods. Appendix A: *Data Sets. Appendix B:* Data Sets on the Web. Appendix C:* Computer Programs. Index.

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