Econometric Theory and Methods: International Edition

Russell Davidson

in OUP Catalogue from Oxford University Press

Abstract: Econometric Theory and Methods International Edition provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation.

Date: 2009
ISBN: 9780195391053
References: Add references at CitEc
Citations: View citations in EconPapers (22)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oxp:obooks:9780195391053

Ordering information: This item can be ordered from
http://ukcatalogue.o ... uct/9780195391053.do

Access Statistics for this book

More books in OUP Catalogue from Oxford University Press
Bibliographic data for series maintained by Economics Book Marketing ().