Econometric Methods with Applications in Business and Economics

Hardcover | April 8, 2004

byChristiaan Heij, Paul de Boer, Philip Hans Franses

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Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding andhands-on experience of current econometrics.Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing andmodel improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vectorautoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations).DT Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. DT Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics.DT Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions.DT Derivations and theory exercises are clearly marked for students in advanced courses.This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.

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Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding andhands-on experience of current econometrics...

Christiaan Heij is Associate Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics. Paul de Boer is Assistant Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics. Philip Hans Franses is Profes...

other books by Christiaan Heij

Format:HardcoverDimensions:816 pages, 9.69 × 7.44 × 1.82 inPublished:April 8, 2004Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199268010

ISBN - 13:9780199268016

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Table of Contents

Introduction1 Review of Statistics1.1. Descriptive statistics1.2. Random variables1.3. Parameter estimation1.4. Tests of hypothesesSummary, further reading, and keywordsExercises2 Simple Regression2.1. Least squares2.2. Accuracy of least squares2.3. Significance tests2.4. PredictionSummary, further reading, and keywordsExercises3 Multiple Regression3.1. Least squares in matrix form3.2. Adding or deleting variables3.3. The accuracy of estimates3.4. The F-testSummary, further reading, and keywordsExercises4 Non-Linear Methods4.1. Asymptotic analysis4.2. Non-linear regression4.3. Maximum likelihood4.4. Generalized method of momentsSummary, further reading, and keywordsExercises5 Diagnostic Tests and Model Adjustments5.1. Introduction5.2. Functional form and explanatory variables5.3. Varying parameters5.4. Heteroskedasticity5.5. Serial correlation5.6. Disturbance distribution5.7. Endogenous regressors and instrumental variables5.8. Illustration: Salaries of top managersSummary, further reading, and keywordsExercises6 Qualitative and Limited Dependent Variables6.1. Binary response6.2. Multinomial data6.3. Limited dependent variablesSummary, further reading, and keywordsExercises7 Time Series and Dynamic Models7.1. Models for stationary time series7.2. Model estimation and selection7.3. Trends and seasonals7.4. Non-linearities and time-varying volatility7.5. Regression models with lags7.6. Vector autoregressive models7.7. Other multiple equation modelsSummary, further reading, and keywordsExercisesAppendix A: Matrix MethodsA.1. SummationsA.2. Vectors and matricesA.3. Matrix addition and multiplicationA.4. Transpose, trace, and inverseA.5. Determinant, rank, and eigenvaluesA.6. Positive (semi)definite matrices and projectionsA.7. Optimization of a function of several variablesA.8. Concentration and the Lagrange methodExerciseAppendix B: Data SetsIndex

Editorial Reviews

`'. . . meticulously crafted to give an almost seamless transition between learning and doing econometrics . . . There is something here for all students of econometrics.''Michael P. Clements, Warwick University