Econometrics of Qualitative Dependent Variables

ISBN-13: 9780521589857 / Angielski / Miękka / 2000 / 384 str.

Christian Gourieroux; Peter C. B. Phillips; Christian Gourieroux

Opis

This text introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. After the introduction, Chapters 2 through 6 present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. The final two chapters describe models that explain variables assumed by discrete or continuous positive variables.

Recenzje

"What is refreshing about this book is that each of the topics is first introduced in an intuitive manner, and then analyzed rigorously-a sytle that is very special to the author. The book is a must for any serious student of econometrics and for all libraries." Mathematical Reviews

Spis treści

1. Introduction; 2. The simple dichotomy; 3. Modelling; 4. Estimation methods and tests; 5. The log-linear model and its applications; 6. Qualitative panel data; 7. The Tobit model; 8. Models of market disequilibrium; 9. Truncated variables in simultaneous equations; 10. Simultaneous equation systems; 11. The Poisson model; 12. Models of duration.