Advanced econometric theory (Record no. 150917)
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| 000 -LEADER | |
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| fixed length control field | 04748nam a22002777a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190625153022.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190625b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780415326292 (hbk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780415326308 (pbk.) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | rda |
| Transcribing agency | MSU |
| Language of cataloging | English |
| 041 ## - | |
| -- | eng |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chipman, John S. |
| Relator term | author |
| 245 10 - TITLE STATEMENT | |
| Title | Advanced econometric theory |
| Statement of responsibility, etc | John S. Chipman |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | New York |
| Name of publisher, distributor, etc | Routledge |
| Date of publication, distribution, etc | 2011 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 393 pages |
| Dimensions | 25 cm |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| content type term | text |
| 337 ## - MEDIA TYPE | |
| source | rdamedia |
| media type term | unmediated |
| media type code | n |
| 338 ## - CARRIER TYPE | |
| source | rdacarrier |
| carrier type term | volume |
| carrier type code | nc |
| 490 ## - SERIES STATEMENT | |
| Series statement | Routledge advanced texts in economics and finance |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references and index |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | List of figures and tables xii<br/> Preface xiii<br/>1. Multivariate analysis and the linear regression model 1<br/>1.1. Introduction 1<br/>1.2. Existence of a solution to the normal equation 7<br/>1.3. The concept of wide-sense conditional expectation 10<br/>1.4. Conditional expectation with normal variables 14<br/>1.5. The relation between wide-sense and strict-sense conditional expectation 15<br/>1.6. Conditional means and minimum mean-square error 17<br/>1.7. Bayes estimation 20<br/>1.8. The relation between Bayes and Gauss---Markov estimation in the case of a single independent variable 23<br/>1.9. Exercises 27<br/>2. Least-squares and Gauss---Markov theory 30<br/>2.1. Least-squares theory 30<br/>2.2. Principles of estimation 31<br/>2.3. The concept of a generalized inverse of a matrix 33<br/>2.4. The matrix Cauchy---Schwarz inequality and an extension 35<br/>2.5. Gauss---Markov theory 37<br/>2.6. The relation between Gauss---Markov and least-squares estimators 41<br/>2.7. Minimum-bias estimation 49<br/>2.8. Multicollinearity and the imposition of dummy linear restrictions 51<br/>2.9. Specification error 55<br/>2.10. Exercises 60<br/>3. Multicollinearity and reduced-rank estimation 65<br/>3.1. Introduction 65<br/>3.2. Singular-value decomposition of a matrix 65<br/>3.3. The condition number of a matrix 68<br/>3.4. The Eckart---Young theorem 70<br/>3.5. Reduced-rank estimation 81<br/>3.6. Exercises 86<br/>4. The treatment of linear restrictions 88<br/>4.1. Estimation subject to linear restrictions 88<br/>4.2. Linear aggregation and duality 92<br/>4.3. Testing linear restrictions 101<br/>4.4. Reduction of mean-square error by imposition of linear restrictions 106<br/>4.5. Uncertain linear restrictions 108<br/>4.6. Properties of the generalized ridge estimator 109<br/>4.7. Comparison of restricted and generalized ridge estimators 112<br/>4A. Appendix (to Section 4.4): Guide to the computation of percentage points of the noncentral F distribution 115<br/>4.8. Exercises 122<br/>5. Stein estimation 126<br/>5.1. Stein's theorem and the regression model 126<br/>5.2. Lemmas underlying the James---Stein theorem 132<br/>5.3. Some further developments of Stein estimation 138<br/>5.4. Exercises 141<br/>6. Autocorrelation of residuals - 1 143<br/>6.1. The first-order autoregressive model 143<br/>6.2. Efficiency of trend estimation: the ordinary least-squares estimator 147<br/>6.3. Efficiency of trend estimation: the Cochrane---Orcutt estimator 154<br/>6.4. Efficiency of trend estimation: the Prais---Winsten weighted-difference estimator 157<br/>6.5. Efficiency of trend estimation: the Prais---Winsten first-difference estimator 161<br/>6.6. Discussion of the literature 162<br/>6.7. Exercises 165<br/>7. Autocorrelation of residuals - 2 167<br/>7.1. Anderson models 167<br/>7.2. Testing for autocorrelation: Anderson's theorem and the Durbin---Watson test 177<br/>7.3. Distribution and beta approximation of the Durbin---Watson statistic 189<br/>7.4. Bias in estimation of sampling variances 196<br/>7.5. Exercises 200<br/>8. Simultaneous-equations estimation 202<br/>8.1. The identification problem 202<br/>8.2. Anderson and Rubin's "limited-information maximum-likelihood" (LIML) method, 1: the handling of linear restrictions 210<br/>8.3. Anderson and Rubin's "limited-information maximum-likelihood" method, 2: constrained maximization of the likelihood function 215<br/>8.4. The contributions of Basmann and Theil 223<br/>8.5. Exact properties of simultaneous-equations estimators 238<br/>8.6. Approximations to finite-sample distributions 251<br/>8.7. Recursive models 268<br/>8.8. Exercises 283<br/>9. Solutions to the exercises 287<br/>9.1. Chapter 1 287<br/>9.2. Chapter 2 294<br/>9.3. Chapter 3 304<br/>9.4. Chapter 4 309<br/>9.5. Chapter 5 318<br/>9.6. Chapter 6 323<br/>9.7. Chapter 7 329<br/>9.8. Chapter 8 334<br/> Notes 349<br/> Bibliography 357<br/> Index |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | When learning econometrics, what better way than to be taught by one of its masters. Starting with the linear regression model, least squares, Gauss-Markov theory and the first principals of econometrics, this book guides the introductory student to an advanced stage of ability. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Econometrics |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Book |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Barcode | Date last seen | Copy number | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Harare Campus Library | Harare Campus Library | Open Shelf | 25/06/2019 | Mallory | 48.16 | HB139 CHI | BK131718 | 25/06/2019 | 146402 | 25/06/2019 | Book | |||||
| Library of Congress Classification | PostGraduate Studies Library | PostGraduate Studies Library | Open Shelf | 25/06/2019 | Mallory | 48.16 | HB139 CHI | BK131689 | 25/06/2019 | 146401 | 25/06/2019 | Book | |||||
| Library of Congress Classification | PostGraduate Studies Library | PostGraduate Studies Library | Open Shelf | 25/06/2019 | Mallory | 48.16 | HB139 CHI | BK131901 | 25/06/2019 | 146400 | 25/06/2019 | Book |