This highly successful text serves as a guide to alternative techniques in econometrics with an emphasis on the practical application of these approaches.
Key Features
- Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments.
- Intuitive presentation and discussion, with a focus on implementation and practical relevance.
- A large number of empirical illustrations taken from a wide variety of fields, including international economics, finance, labour economics and macroeconomics.
- Increased focus on robust inference and small sample properties.
- End-of-chapter exercises, both theoretical and empirical, reviewing key concepts.
- Updated and expanded coverage, on various topics such as missing data, outliers, forecast evaluation, the estimation of treatment effects and panel unit root tests.
- Supplementary material, including PowerPoint slides for lecturers, data sets of the empirical illustrations and exercises, and solutions to selected exercises in each chapter, available at www.wileyeurope.com/college/verbeek.
Table of Contents - 1 Introduction
- 2 An Introduction to Linear Regression
- 3 Interpreting and Comparing Regression Models
- 4 Heteroskedasticity and Autocorrelation
- 5 Endogenous Regressors, Instrumental Variables and GMM
- 6 Maximum Likelihood Estimation and Specification Tests
- 7 Models with Limited Dependent Variables
- 8 Univariate Time Series Models
- 9 Multivariate Time Series Models
- 10 Models Based on Panel Data
- A Vectors and Matrices
- B Statistical and Distribution Theory
- Bibliography
- Index
New to this edition
- Increased focus on robust inference and small sample properties.
- Updated and expanded coverage, on various topics such as missing data, outliers, forecast
- evaluation, the estimation of treatment effects and panel unit root tests.
About the Author
- Marno Verbeek is Professor of Finance at the Rotterdam School of Management and the Econometric Institute of Erasmus University, Rotterdam. He held previous positions at KU Leuven and Tilburg University, and visiting appointments at Trinity College Dublin and Université Panthéon-Assas Paris II. He has published in a wide variety of international journals.
Book Details
- Paperback: 514 pages
- Publisher: Wiley; 4 edition (April 3, 2012)
- Language: English
- ISBN-10: 1119951674
- ISBN-13: 978-1119951674
- Product Dimensions: 6.6 x 1.1 x 9.5 inches
List Price: $63.98