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Fumio Hayashi: Econometrics

Source: press.princeton.edu
Topic: Econometrics

Sort Desciption: Prior exposure to undergraduate econometrics is not required. ... For some models in econometrics Maximum Likelihood (ML) is the more ...

Content Inside: COPYRIGHT NOTICE: Fumio Hayashi: Econometrics is published by Princeton University Press and copyrighted 2000 by Princeton University Press. All rights reserved. No part of this book may be reproduced in any form by any electronic or mechanical means (including photocopying recording or information storage and retrieval) without permission in writing from the publisher except for reading and browsing via the World Wide Web. Users are not permitted to mount this file on any network servers. For COURSE PACK and other PERMISSIONS refer to entry on previous page. For more information send e-mail to permissions@pupress.princeton.edu Preface This book is designed to serve as the textbook for a first-year graduate course in econometrics. It has two distinguishing features. First it covers a full range of techniques with the estimation method called the Generalized Method of Moments (GMM) as the organizing principle. I believe this unified approach is the most efficient way to cover the first-year materials in an accessible yet rigorous manner. Second most chapters include a section examining in detail original applied arti- cles from such diverse fields in economics as industrial organization labor finance international and macroeconomics. So the reader will know how to use the tech- niques covered in the chapter and under what conditions they are applicable. Over the last several years the lecture notes on which this book is based have been used at the University of Pennsylvania Columbia University Princeton Uni- versity the University of Tokyo Boston College Harvard University and Ohio State University. Students seem to like the book a lot. My own experience from teaching out of the book is that students think the book is much better than the instructor. Prerequisites The reader of this book is assumed to have a working knowledge of the basics of calculus probability theory and linear algebra. An understanding of the follow- ing concepts is taken for ...

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