Econometric Modeling and Inference (Themes in Modern Econometrics)

ISBN: 9780521700061
Publisher: Cambridge University Press
Publication Date: 2007-07-02
Number of pages: 518
  • $43.31

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The aim of this book is to present the main statistical tools of econometrics. It covers almost all modern econometric methodology and unifies the approach by using a small number of estimation techniques, many from generalized method of moments (GMM) estimation. The work is in four parts: Part I sets forth statistical methods, Part II covers regression models, Part III investigates dynamic models, and Part IV synthesizes a set of problems that are specific models in structural econometrics, namely identification and overidentification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises.

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