Introduction to econometrics, 3rd ed.

This third edition examines the application of statistical and mathematical methods to the analysis of economic data, with a purpose of giving empirical content to economic theories and verifying them or refuting them. This latest edition includes three new chapters. New data sets and exercises have also been added in addition to a disk containing data sets which accompanies the text.

Foreword.

Preface to the Second Edition.

Preface to the Third Edition.

Obituary.

INTRODUCTION AND THE LINEAR REGRESSION MODEL.

What is Econometrics?

Statistical Background and Matrix Algebra.
Simple Regression.
Multiple Regression.
VIOLATION OF THE ASSUMPTIONS OF THE BASIC MODEL.

Heteroskedasticity.
Autocorrelation.
Multicollinearity.
Dummy Variables and Truncated Variables.

Simultaneous Equations Models.
Nonlinear Regression, Models of Expectations, and Nonnormality.
Errors in Variables.
SPECIAL TOPICS.

Diagnostic Checking, Model Selection, and Specification Testing.
Introduction to Time Series Analysis.
Vector Autoregressions, Unit Roots, and Cointegration.

Panel Data Analysis.
Large Sample Theory.
Small Sample Inference: Resampling Methods.
Appendix A: Data Sets.
Appendix B: Data Sets on the Web.
Appendix C: Computer Programs.
Index.