Estimation and inference in econometrics - Davidson, Russell; MacKinnon, James G. (New York : Oxford University Press, 1993)
1. The Geometry of Least Squares -- 2. Nonlinear Regression Models and Nonlinear Least Squares -- 3. Inference in Nonlinear Regression Models -- 4. Introduction to Asymptotic Theory and Methods -- 5. Asymptotic Methods and Nonlinear Least Squares -- 6. The Gauss-Newton Regression -- 7. Instrumental Variables -- 8. The Method of Maximum Likelihood -- 9. Maximum Likelihood and Generalized Least Squares -- 10. Serial Correlation -- 11. Tests Based on the Gauss-Newton Regression -- 12. Interpreting Tests in Regression Directions -- 13. The Classical Hypothesis Tests -- 14. Transforming the Dependent Variable -- 15. Qualitative and Limited Dependent Variables -- 16. Heteroskedasticity and Related Topics -- 17. The Generalized Method of Moments -- 18. Simultaneous Equations Models -- 19. Regression Models for Time-Series Data -- 20. Unit Roots and Cointegration -- 21. Monte Carlo Experiments -- App. A: Matrix Algebra -- App. B: Results from Probability Theory.
Includes bibliographical references (p. 812-850) and indexes.
Keywords: Econometrics; Econometrics