Table of Contents

Introduction
1 Review of Statistics
1.1: Descriptive statistics
1.2: Random variables
1.3: Parameter estimation
1.4: Tests of hypotheses
Summary, further reading, and keywords
Exercises
2 Simple Regression
2.1: Least squares
2.2: Accuracy of least squares
2.3: Significance tests
2.4: Prediction
Summary, further reading, and keywords
Exercises
3 Multiple Regression
3.1: Least squares in matrix form
3.2: Adding or deleting variables
3.3: The accuracy of estimates
3.4: The F-test
Summary, further reading, and keywords
Exercises
4 Non-Linear Methods
4.1: Asymptotic analysis
4.2: Non-linear regression
4.3: Maximum likelihood
4.4: Generalized method of moments
Summary, further reading, and keywords
Exercises
5 Diagnostic Tests and Model Adjustments
5.1: Introduction
5.2: Functional form and explanatory variables
5.3: Varying parameters
5.4: Heteroskedasticity
5.5: Serial correlation
5.6: Disturbance distribution
5.7: Endogenous regressors and instrumental variables
5.8: Illustration: Salaries of top managers
Summary, further reading, and keywords
Exercises
6 Qualitative and Limited Dependent Variables
6.1: Binary response
6.2: Multinomial data
6.3: Limited dependent variables
Summary, further reading, and keywords
Exercises
7 Time Series and Dynamic Models
7.1: Models for stationary time series
7.2: Model estimation and selection
7.3: Trends and seasonals
7.4: Non-linearities and time-varying volatility
7.5: Regression models with lags
7.6: Vector autoregressive models
7.7: Other multiple equation models
Summary, further reading, and keywords
Exercises
Appendix A: Matrix Methods
A.1: Summations
A.2: Vectors and matrices
A.3: Matrix addition and multiplication
A.4: Transpose, trace, and inverse
A.5: Determinant, rank, and eigenvalues
A.6: Positive (semi)definite matrices and projections
A.7: Optimization of a function of several variables
A.8: Concentration and the Lagrange method
Exercise
Appendix B: Data Sets
Index

About the Author

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 Professor of Applied Econometrics and Professor of Marketing Research, both at the Erasmus University Rotterdam. He has published in
leading international journals on applied econometrics, time series analysis, empirical finance, and marketing research. He is the (co-)author of various books published by Oxford University Press and
Cambridge University Press.
Teun Kloek is Professor Emeritus of Econometrics at Erasmus University Rotterdam. He has published in leading international journals on econometric theory, applied econometrics and quantitative economics. Herman K. van Dijk is Professor of Econometrics and director of the Econometric Institute of the Erasmus University in Rotterdam. His fields of research are Bayesian Inference and Decision Analysis in Econometrics, Computational Economics, Stochastic Trends and Cycles in Time Series
Econometrics and Income Distributions.

Reviews

'... students will find the contents of this book to be a very helpful guide ... Because of its wide coverage and careful presentation the book should be useful for a diverse group of students in many countries and interested in a variety of areas of applications.' C. W. J. Granger, Nobel Laureate 'Most econometric texts can be described as either primarily theoretical or primarily applied. This is the first text I've seen that does a really nice job of bridging the gap between the two in a single unified whole... I can strongly recommend this book to anyone desiring a firm understanding of both where econometric methods come from and how they are used in practice.' James D. Hamilton, University of California, San Diego '... superbly presented, the coverage is thorough, the technical rigour is sensibly balanced, and the empirical examples demonstrate the techniques effectively. The exercises are stimulating, the answers are insightful, and the exposition in the background material is excellent. It will appeal very strongly to researchers, instructors and students' Michael McAleer, University of Western Australia '... a thorough introduction to the basic principles of econometrics ... The strong link between theory and applications provides great motivation for studying econometrics.' Helmut Lutkepohl, European University Institute, Florence '... 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