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Statistical Methods of Econometrics
Abstract
This now classic volume aims at a systematic presentation of the statistical methods used for the analysis of economic data. The properties of the various procedures are studied within the framework of theoretical stochastic models. Their relevance for inference on the economic phenomena is discussed at length. This third edition has been updated in many respects. Chapter 8 (Regression in Various Contexts) has been rewritten and now provides a full discussion of estimation in the linear models with a partially unknown covariance matrix, which introduces a systematic treatment of heteroscedasticity, random coefficients and composite errors. A new chapter has been added on simultaneous equation models that are non-linear with respect to the endogenous variables. The reader will also find new sections on shrunken estimators, on the choice of a model, on specification and estimation for distributed lag equations.
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Cited by
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Asymptotic Confidence Intervals for Indirect Effects in Structural Equation Models
Sobel, M. E. (1982) · Sociological Methodology · doi:10.2307/270723 · Cited by 12,810
Asset pricing and the bid-ask spread
Amihud, Y., & Mendelson, H. (1986) · Journal of Financial Economics · doi:10.1016/0304-405x(86)90065-6 · Cited by 5,090
(1972) · American Economic Review · Cited by 2,982
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
Kraus, A., & Litzenberger, R. H. (1976) · The Journal of Finance · doi:10.1111/j.1540-6261.1976.tb01961.x · Cited by 1,769
Metadata
- Authors
- Wold, H., & Malinvaud, E.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1970-05
- Volume
- 38
- Issue
- 3
- Pages
- 578
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2025848052
- Cited by
- 780
- References
- 0
- FWCI
- 51.40
- Type
- journal article
- Language
- en
- Open access
- closed
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