A 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 x

Dedication xii

1. Introduction 1

2. Criteria for Estimators 11

3. The Classical Linear Regression Model 40

4. Interval Estimation and Hypothesis Testing 51

5. Specification 71

6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 93

7. Violating Assumption Two: Nonzero Expected Disturbance 109

8. Violating Assumption Three: Nonspherical Disturbances 112

9. Violating Assumption Four: Instrumental Variable Estimation 137

10. Violating Assumption Four: Measurement Errors and Autoregression 157

11. Violating Assumption Four: Simultaneous Equations 171

12. Violating Assumption Five: Multicollinearity 192

13. Incorporating Extraneous Information 203

14. The Bayesian Approach 213

15. Dummy Variables 232

16. Qualitative Dependent Variables 241

17. Limited Dependent Variables 262

18. Panel Data 281

19. Time Series Econometrics 296

20. Forecasting 331

21. Robust Estimation 345

22. Applied Econometrics 361

23. Computational Considerations 385

Appendix A: Sampling Distributions, the Foundation of Statistics 403

Appendix B: All about Variance 407

Appendix C: A Primer on Asymptotics 412

Appendix D: Exercises 417

Appendix E: Answers to Even-numbered Questions 479

Glossary 503

Bibliography 511

Name Index 563

Subject Index 573