Advanced Econometrics
By: Takeshi Amemiya.
Publisher: Harvard University Press
Published: 1985
Place of publication: Cambridge, MA, USA
Language: eng
Format: Hardcover
Number of pages: 521
ISBN-13: 9780674005600
Copyright date: 1985
Subjects: Econometrics.
Description: 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.
source: http://www.hup.harvard.edu/catalog.php?isbn=
Notes: Bibliography: p. [475]-504.
Includes indexes.
Table of contents: title: 1. Classical Least Squares Theory; title: 2. Recent Developments in Regression Analysis; title: 3. Large Sample Theory; title: 4. Asymptotic Properties of Extremum Estimators; title: 5. Time Series Analysis; title: 6. Generalized Least Squares Theory; title: 7. Linear Simultaneous Equations Models; title: 8. Nonlinear Simultaneous Equations Models; title: 9. Qualitative Response Models; title: 10. Tobit Models; title: 11. Markov Chain and Duration Models; title: Appendix 1. Useful Theorems in Matrix Analysis; title: Appendix 2. Distribution Theory; title: Notes; title: References; title: Name Index; title: Subject Index