Last edited by Alice Kirk
October 1, 2015 | History
This Econometrics e-book is available as a free download. It provides simple explanations of key concepts in the field, with numerous examples and clear statistical tables for reference.
You can download the book for free via the link below.
Publish Date
2013
Publisher
Bookboon.com
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Book Details
Table of Contents
Sisältö
Basics of probability and statistics
Random variables and probability distributions
The multivariate probability distribution function
Characteristics of probability distributions
Basic probability distributions in econometrics
The normal distribution
The t-distribution
The Chi-square distribution
The F-distribution
The simple regression model
The population regression model
Estimation of population parameters
Statistical inference
Hypothesis testing
Confidence interval
Type I and type II errors
The best linear predictor
Model measures
The coefficient of determination (R2)
The adjusted coefficient of determination (Adjusted R2)
The analysis of variance table (ANOVA)
The multiple regression model
Partial marginal effects
Estimation of partial regression coefficients
The joint hypothesis test
Specification
Choosing the functional form
Omission of a relevant variable
Inclusion of an irrelevant variable
Measurement errors
Dummy variables
Intercept dummy variables
Slope dummy variables
Qualitative variables with several categories
Piecewise linear regression
Test for structural differences
Heteroskedasticity and diagnostics
Consequences of using OLS
Detecting heteroskedasticity
Remedial measures
Autocorrelation and diagnostics
Definition and the nature of autocorrelation
Consequences
Detection of autocorrelation
Remedial measures
Multicollinearity and diagnostics
Consequences
Measuring the degree of multicollinearity
Remedial measures
Simultaneous equation models
Introduction
The structural and reduced form equation
Identification
Estimation methods
Statistical tables
Area below the standard normal distribution
Right tail critical values for the t-distribution
Right tail critical value of the Chi-Square distribution
Right tail critical for the F-distribution: 5 percent level
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