Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models. Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.
Author(s): Takeshi Amemiya
Edition: 1
Publisher: Harvard University Press
Year: 1985
Language: English
Pages: 521
Cover......Page 0
Preface......Page 7
Contents......Page 9
1. Classical Least Squares Theory......Page 11
2. Recent Developments in Regression Analysis......Page 55
3. Large Sample Theory......Page 91
4. Asymptotic Properties of Extremum Estimators......Page 115
5. Time Series Analysis......Page 169
6. Generalized Least Squares Theory......Page 191
7. Linear Simultaneous Equations Models......Page 238
8. Nonlinear Simultaneous Euations Models......Page 255
9. Qualitative Response Models......Page 277
10. Tobit Models......Page 370
11. Markov Chain and Duration Models......Page 422
Appendix 1: Useful Theorems in Matrix Analysis......Page 469
Appendix 2: Distribution Theory......Page 473
Notes......Page 475
References......Page 485
Subject Index (missing)......Page 515
