TY  - BOOK
AU  - Mukherjee,Chandan
AU  - White,Howard
AU  - Wuyts,Marc
TI  - Econometrics and data analysis for developing countries
SN  - 0415093996
U1  - 30.015195  
PY  - 1998///
CY  - London, New York
PB  - Routledge
KW  - Econometrics
KW  - Econometric models
KW  - Social sciences
KW  - Statistical methods
N1  - Includes bibliographical references and index; ntroduction
1 The purpose of this book
2 The approach of this book: an example
Part I Foundations of data analysis
1 Model specification and applied research
1.1 Introduction
1.2 Model specification and statistical inference
1.3 The role of data in model specification:
traditional modelling
1.4 The role of data in model specification:
modern approaches
1.5 The time dimension in data
1.6 Summary of main points
2 Modelling an average
2.1 Introduction
2.2 Kinds of averages
2.3 The assumptions of the model
2.4 The sample mean as best linear unbiased
estimator (BLUE)
2.5 Normality and the maximum likelihood principle
2.6 Inference from a sample of a normal distribution
2.7 Summary of main points
Appendix 2.1: Properties of mean and variance
Appendix 2.2: Standard sampling distributions
3 Outliers, skewness and data transformations
3.1 Introduction
3.2 The least squares principle and the concept
of resistance
3.3 Mean-based versus order-based sample statistics
3.4 Detecting non-normality in data
3.5 Data transformations to eliminate skewness
3.6 Summary of main points
Part II Regression and data analysis
4 Data analysis and simple regression
4.1 Introduction
4.2 Modelling simple regression
4.3 Linear regression and the least squares principle
4.4 Inference from classical normal linear
regression model
4.5 Regression with graphics: checking the model
assumptions
4.6 Regression through the origin
4.7 Outliers, leverage and influence
4.8 Transformation towards linearity
4.9 Summary of main points =
5 Partial regression: interpreting multiple regression coefficients
5.1 Introduction
5.2 The price of food and the demand for
manufactured goods in India
5.3 Least squares and the sample multiple regression line
5.4 Partial regression and partial correlation
5.5 The linear regression model
5.6 The /-test in multiple regression
5.7 Fragility analysis: making sense of
regression coefficients
5.8 Summary of main points
6 Model selection and misspecification in multiple regression
6.1 Introduction
6.2 Griffin's aid versus savings model: the omitted
variable bias
6.3 Omitted variable bias: the theory
6.4 Testing zero restrictions
6.5 Testing non-zero linear restrictions
6.6 Tests of parameter stability
6.7 The use of dummy variables
6.8 Summary of main points
Part III Analysing cross-section data
7 Dealing with heteroscedasticity
7.1 Introduction
7.2 Diagnostic plots: looking for heteroscedasticity
7.3 Testing for heteroscedasticity
7.4 Transformations towards homoscedasticity
7.5 Dealing with genuine heteroscedasticity: weighted
least squares and heteroscedastic standard errors
7.6 Summary of main points
8 Categories, counts and measurements
8.1 Introduction
8.2 Regression on a categorical variable: using
dummy variables n
8.3 Contingency tables: association between
categorical variables
8.4 Partial association and interaction
8.5 Multiple regression on categorical variables
8.6 Summary of main points
9 Logit transformation, modelling and regression
9.1 Introduction
9.2 The logit transformation
9.3 Logit modelling with contingency tables =>
9.4 The linear probability model versus logit regression
9.5 Estimation and hypothesis testing in logit regression
9.6 Graphics and residual analysis in logit regression
9.7 /Summary of main points
Part IV Regression with time-series data
10 Trends, spurious regressions and transformations
to stationarity
10.1 Introduction
10.2 Stationarity and non-stationarity
10.3 Random walks and spurious regression
10.4 Testing for stationarity
10.5 Transformations to stationarity
10.6 Summary of main points
Appendix 10.1: Generated DSP and TSP series for exercises
11 Misspecification and autocorrelation
11.1 Introduction
11.2 What is autocorrelation and why is it a problem?
11.3 Why do we get autocorrelation?
11.4 Detecting autocorrelation
11.5 What to do about autocorrelation
11.6 Summary of main points
Appendix 11.1: Derivation of variance and covariance
for AR(1) model
12 Cointegration and the error correction model
12.1 Introduction
12.2 What is cointegration?
12.3 Testing for cointegration
12.4 The error correction model (ECM)
12.5 Summary of main points
Part V Simultaneous equation models
13 Misspecification bias from single equation estimation
13.1 Introduction
13.2 Simultaneity bias in a supply and demand model
13.3 Simultaneity bias: the theory
13.4 The Granger and Sims tests for causality and
concepts of exogeneity
13.5 The identification problem
13.6 Summary of main points
14 Estimating simultaneous equation models
14.1 Introduction
14.2 Recursive models
14.3 Indirect least squares
14.4 Instrumental variable estimation and two-stage
least squares
14.5 Estimating the consumption function in a
simultaneous system
14.6 Full information estimation techniques
14.7 Summary of main points
ER  -