Econometric analysis/
William H. Greene
- 5th ed.
- New Delhi: Pearson, 2003.
- xxx, 1026 p. : ill. ; 25 cm.
1. Introduction -- 2. The classical multiple linear regression model -- 3. Least squares -- 4. Finite-sample properties of the least squares estimator -- 5. Large-sample properties of the least squares and instrumental variables estimators -- 6. Inference and prediction -- 7. Functional form and structural change -- 8. Specification analysis and model selection -- 9. Nonlinear regression models -- 10. Nonspherical disturbances: The generalized regression model -- 11. Heteroscedasticity -- 12. Serial correlation -- 13. Models for panel data -- 14. Systems of regression equations -- 15. Simultaneous-equations models -- 16. Estimation frameworks in econometrics -- 17. Maximum likelihood estimation -- 18. The generalized method of moments -- 19. Models with lagged variables -- 20. Time-series models -- 21. Models for discrete choice -- 22. Limited dependent variable and duration models -- Appendixes: -- A. Matrix algebra -- B. Probability and distribution theory -- C. Estimation and inference -- D. Large sample distribution theory -- E. Computation and optimization -- F. Data sets used in applications -- G. Statistical tables.