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URL :  Econometrics.
Author : Michael Creel
Detail : eBook Edition: 2014

This document integrates lecture notes for a one year graduate level course with computer programs that illustrate and apply the methods that are studied. With respect to contents, the emphasis is on estimation and inference within the world of stationary data. The integrated examples are an important part of these notes. GNU Octave (www.octave.org) has been used for most of the example programs, which are scattered through the document.

eBook Contents

About this document - Introduction: Economic and econometric models - Ordinary Least Squares - Asymptotic properties of the least squares estimator - Restrictions and hypothesis tests - Stochastic regressors - Data problems - Functional form and nonnested tests - Generalized least squares - Endogeneity and simultaneity - Numeric optimization methods - Asymptotic properties of extremum estimators - Maximum likelihood estimation - Generalized method of moments - Models for time series data - Bayesian methods - Introduction to panel data - Quasi-ML - Nonlinear least squares (NLS) - Nonparametric inference - Quantile regression - Simulation-based estimation - Parallel programming for econometrics - Introduction to Octave - Notation and Review – Licenses - The attic

eBook License: Creative Commons o GNU

Free PDF eBook - 4,7 Mb - 710 pages
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