econometrics

By Bruce Hansen 先看目录

Contents 1 Ordinary Least Squares 1 2 Regression Models 20 3 Model Selection 33 4 Generalized Least Squares 40 5 Generalized Method of Moments 46 6 Empirical Likelihood 54 7 Endogeneity 61 8 TheBootstrap 70 9 Univariate Time Series 88 10 Multivariate Time Series 98 11 Limited Dependent Variables 104 12 Panel Data 110 13 Nonparametrics 113 14 Appendix A: Mathematical Formula 118 15 Appendix B: Matrix Algebra 120 16 Appendix C: Probability 129 17 Appendix D: Asymptotic Theory 146 18 Appendix E: Numerical Optimization 154

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