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Klappentext A Guide to Modern Econometrics, Fifth Edition has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on intuition and the practical implementation of these approaches. This fifth edition builds upon the success of its predecessors. The text has been carefully checked and updated, taking into account recent developments and insights. It includes new material on casual inference, the use and limitation of p-values, instrumental variables estimation and its implementation, regression discontinuity design, standardized coefficients, and the presentation of estimation results. Zusammenfassung A Guide to Modern Econometrics! Fifth Edition has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on intuition and the practical implementation of these approaches. This fifth edition builds upon the success of its predecessors. The text has been carefully checked and updated! taking into account recent developments and insights. It includes new material on casual inference! the use and limitation of p-values! instrumental variables estimation and its implementation! regression discontinuity design! standardized coefficients! and the presentation of estimation results. Inhaltsverzeichnis Preface 1 Introduction 1.1 About Econometrics 1.2 The Structure of This Book 1.3 Illustrations and Exercises 2 An Introduction to Linear Regression 2.1 Ordinary Least Squares as an Algebraic Tool 2.2 The Linear Regression Model 2.3 Small Sample Properties of the OLS Estimator 2.4 Goodness-of-fit 2.5 Hypothesis Testing 2.6 Asymptotic Properties of the OLS Estimator 2.7 Illustration: The Capital Asset Pricing Model 2.8 Multicollinearity 2.9 Missing Data, Outliers and Influential Observations 2.10 Prediction Wrap-up Exercises 3 Interpreting and Comparing Regression Models 3.1 Interpreting the Linear Model 3.2 Selecting the Set of Regressors 3.3 Misspecifying the Functional Form 3.4 Illustration: Explaining House Prices 3.5 Illustration: Predicting Stock Index Returns 3.6 Illustration: Explaining Individual Wages Wrap-up Exercises 4 Heteroskedasticity and Autocorrelation 4.1 Consequences for the OLS Estimator 4.2 Deriving an Alternative Estimator 4.3 Heteroskedasticity 4.4 Testing for Heteroskedasticity 4.5 Illustration: Explaining Labour Demand 4.6 Autocorrelation 4.7 Testing for First-order Autocorrelation 4.8 Illustration: The Demand for Ice Cream 4.9 Alternative Autocorrelation Patterns 4.10 What to do When you Find Autocorrelation? 4.11 Illustration: Risk Premia in Foreign Exchange Markets Wrap-up Exercises 5 Endogenous Regressors, Instrumental Variables and GMM 5.1 A Review of the Properties of the OLS Estimator 5.2 Cases Where the OLS Estimator Cannot be Saved 5.3 The Instrumental Variables Estimator 5.4 Illustration: Estimating the Returns to Schooling 5.5 Alternative Approaches to Estimate Causal Effects 5.6 The Generalized Instrumental Variables Estimator 5.7 Institutions and Economic Development 5.8 The Generalized Method of Moments 5.9 Illustration: Estimating Intertemporal Asset Pricing Models Wrap-up Exercises 6 Maximum Likelihood Estimation and Specification Tests 6.1 An Introduction to Maximum Likelihood 6.2 Specification Tests 6.3 Tests in the Normal Linear Regression Model 6.4 Quasi-maximum Likelihood and Moment Conditions Tests Wrap-up Exercises 7 Models wit...
