Statistical methods of econometrics

E. Malinvaud ; translation by A. Silvey

This now classic volume aims at a systematic presentation of the statistical methods used for the analysis of economic data. The properties of the various procedures are studied within the framework of theoretical stochastic models. Their relevance for inference on the economic phenomena is discussed at length. This third edition has been updated in many respects. Chapter 8 (Regression in Various Contexts) has been rewritten and now provides a full discussion of estimation in the linear models with a partially unknown covariance matrix, which introduces a systematic treatment of heteroscedasticity, random coefficients and composite errors. A new chapter has been added on simultaneous equation models that are non-linear with respect to the endogenous variables. The reader will also find new sections on shrunken estimators, on the choice of a model, on specification and estimation for distributed lag equations.

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書名 Statistical methods of econometrics
著作者等 Malinvaud, Edmond
Silvey, A.
書名別名 Méthodes statistiques de l'économétrie
シリーズ名 Studies in mathematical and managerial economics
出版元 Elsevier North-Holland,
North-Holland Publishing Company
Sole distributors for the U.S.A. and Canada
刊行年月 1980
版表示 3rd rev. ed
ページ数 xvi, 769 p.
大きさ 23 cm
ISBN 0444854738
NCID BA01017647
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言語 英語
原文言語 フランス語
出版国 オランダ