Guide to Econometrics

Peter Kennedy is Professor of Economics at Simon Fraser University. In addition to A Guide to Econometrics, he is author of Macroeconomic Essentials: Understanding Economics in the News, 2e (2000), and is Associate Editor of the International Journal of Forecasting, the Journal of Economic Education, and Economics Bulletin.

• Preface xDedication xii1. Introduction 12. Criteria for Estimators 113. The Classical Linear Regression Model 404. Interval Estimation and Hypothesis Testing 515. Specification 716. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 937. Violating Assumption Two: Nonzero Expected Disturbance 1098. Violating Assumption Three: Nonspherical Disturbances 1129. Violating Assumption Four: Instrumental Variable Estimation 13710. Violating Assumption Four: Measurement Errors and Autoregression 15711. Violating Assumption Four: Simultaneous Equations 17112. Violating Assumption Five: Multicollinearity 19213. Incorporating Extraneous Information 20314. The Bayesian Approach 21315. Dummy Variables 23216. Qualitative Dependent Variables 24117. Limited Dependent Variables 26218. Panel Data 28119. Time Series Econometrics 29620. Forecasting 33121. Robust Estimation 34522. Applied Econometrics 36123. Computational Considerations 385Appendix A: Sampling Distributions, the Foundation of Statistics 403Appendix B: All about Variance 407Appendix C: A Primer on Asymptotics 412Appendix D: Exercises 417Appendix E: Answers to Even-numbered Questions 479Glossary 503Bibliography 511Name Index 563Subject Index 573

“The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. It holds a unique position among econometric texts. Highly recommended.” (Choice, November 2008)