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An Introduction to Classical Econometric Theory

Paul A. Ruud

March 2000

ISBN: 9780195111644

976 pages
Hardback
234x189mm

Price: £181.99

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Description

This econometrics textbook fills a gap between introductory undergraduate texts and advanced texts for the research student. Presenting the methods and techniques for problem solving, the author also examines their mathematical foundations, and presents an intuitive, largely geometric understanding of the structure of classical econometrics. The text will help students to develop strategies, not just tools, for solving econometrics problems.

  • Author is very well known and respected in his field.
  • This text brings the results of a distinguished scholarly and teaching career to the development of a core textbook for graduate econometrics.
  • The author makes sense of this complex field by presenting a careful intuitive understanding of the subject, not simply a set of methods for solving problems. He teaches students to think like econometricians, not just how to get "right" answers.
  • Sound and logical coverage of content and careful pedagogical presentation, such as the use of empirical examples to open chapters.
  • One set of appendices at the end of the book provides a ready reference on matters such as notation and a "refresher" course on basic mathematics. A second set of appendices extends concept coverage for those who wish to expand upon the text.

About the Author(s)

Paul A. Ruud, Professor of Economics, University of California, Berkeley

Table of Contents

    1:The Least-Squares Linear Fit
    2:The Geometry of Least Squares
    3:Partitioned Fit
    4:Restricted Least Squares
    5:Overview of Ordinary Least Squares
    6:Linear Unbiased Estimation
    7:Variances and Covariances
    8:Variances and Covariances of Ordinary Least Squares
    9:Efficient Estimation
    10:Normal Distribution Theory
    11:Hypothesis Testing
    12:Overview of Linear Regression
    13:Nonnormal Disbribution Theory
    14:Maximum Likelihood Estimation
    15:Maximum Likelihood Asymptotic Distribution Theory
    16:Maximul Likelihood Computation
    17:Maximum Likelihood Statistical Inference
    18:Heteroskedasticity
    19:Serial Correlation
    20:Instrumental Variables Estimation
    21:The Generalized Method of Moments
    22:Generalized Method of Moments Hypothesis Tests
    23:Overview
    24:Panel Data Models
    25:Autoregressive Moving-Average Time Series Models
    26:Simultaneous Equations
    27:Discrete Dependent Variables
    28:Censored and Truncated Variables
    29:Overview
    Appendices
    Bibliography
    Index

Reviews

It is an excellent text with very few weaknesses and I strongly recommend it. - R Blundell, University College London

A useful book that provides all the necessary mathematical tools for graduate students to analyse data obtained from repeatable experiments. - Aslib Book Guide, Vol.65, Aug. 2000.

Book gives a deep insight into the foundation of modern econometrics - Dr Hannes Winner, University of Innsbruck

Excellent exposition, great clarity; coherency - Luc Bauwens, University of Lourain

Very advanced textbook which covers all aspects of classical econometric theory - Josef Forsterer, University of Linz

Ruud's book is very original, innovative and clear - Recensioni e Segnalazioni Bibliografiche