Statistical Methods in Econometrics
By Ramu Ramanathan
* Publisher: Academic Press
* Number Of Pages: 405
* Publication Date: 1993-01-07
* ISBN-10 / ASIN: 0125768303
* ISBN-13 / EAN: 9780125768306
* Binding: Hardcover
Product Description:
Statistical Methods in Econometrics is appropriate for beginning graduate courses in mathematical statistics and econometrics in which the foundations of probability and statistical theory are developed for application to econometric methodology. Because econometrics generally requires the study of several unknown parameters, emphasis is placed on estimation and hypothesis testing involving several parameters. Accordingly, special attention is paid to the multivariate normal and the distribution of quadratic forms. Lagrange multiplier tests are discussed in considerable detail, along with the traditional likelihood ration and Wald tests. Characteristic functions and their properties are fully exploited. Also asymptotic distribution theory, usually given only cursory treatment, is discussed in detail.
The book assumes a working knowledge of advanced calculus (including integral calculus) basic probability and statistics, and linear algebra. Important properties from matrix algebra are summarized in the appendix. Numerous examples, exercises, and practice problems are included.
Key Features
* Covers both multivariate analysis and matrix algebra
* Focuses on newer tests of hypotheses such as the Lagrange multiplier test
* Discusses characteristic functions in depth
* Material has evolved during 15 years of classroom instruction
Summary: Outstanding Reference!
Rating: 5
Simply put, this book has to be the best general reference for econometrics that I have ever come across. I bought this book after reading about it and because of a good experience with another of the author's texts. I only wish I had gotten it sooner!
This book is well organized and covers a tremendous amount of econometric theory and results. It never failed me that when I was unclear on a subject or needed clarification, this book provided me with clear insight. It is an outstanding companion to many of the "headier" econometrics texts out there, particularly those used in graduate classes (Davidson/McKinnon, Greene, etc).
Please, do yourself a favor and splurge on this book. You will not regret it and you'll probably help your grades at the same time.
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