Econometric Modeling and Inference

ISBN-13: 9780521700061 / Angielski / Miękka / 2007 / 518 str.

Jean-Pierre Florens; Velayoudom Marimoutou; Anne Peguin-Feissolle

Opis

The aim of this book is to present the main statistical tools of econometrics. It covers almost all modern econometric methodology and unifies the approach by using a small number of estimation techniques, many from generalized method of moments (GMM) estimation. The work is in four parts: Part I sets forth statistical methods, Part II covers regression models, Part III investigates dynamic models, and Part IV synthesizes a set of problems that are specific models in structural econometrics, namely identification and overidentification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises.