Econometrics
This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in spatial correlation, panel data, limited dependent variables, regression dia
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Badi H. Baltagi
Econometrics Fifth Edition
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Prof. Badi H. Baltagi Syracuse University Center for Policy Research Department of Economics Eggers Hall 426 13244-1020 Syracuse New York USA [email protected]
ISBN 978-3-642-20058-8 e-ISBN 978-3-642-20059-5 DOI 10.1007/978-3-642-20059-5 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011926694 © Springer-Verlag Berlin Heidelberg 1997, 1999, 2002, 2008, 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: eStudio Calamar Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To My Wife Phyllis
Preface This book is intended for a first year graduate course in econometrics. I tried to strike a balance between a rigorous approach that proves theorems, and a completely empirical approach where no theorems are proved. Some of the strengths of this book lie in presenting some difficult material in a simple, yet rigorous manner. For example, Chapter 12 on pooling time-series of cross-section data is drawn from my area of expertise in econometrics and the intent here is to make this material more accessible to the general readership of econometrics. This book teaches some of the basic econometric methods and the underlying assumptions behind them. Estimation, hypotheses testing and prediction are three recurrent themes in this book. Some uses of econometric methods include (i) empirical testing of economic theory, whether it is the permanent income consumption theory or purchasing power parity, (ii) forecasting, whether it is GNP or unemployment in the U.S. economy or future sales in the computer industry. (iii) Estimation of price elasticities of demand, or returns to scale in production. More importantly, econometric methods can be used to simulate the effect of policy changes like a tax increase on gasoline consumption, or a ban on advertising on cigarette consumption. It is left to the reader to choose among the available econometric/statistical software to use, like EViews, SAS, Stata, TSP, SHAZAM, Microfit, PcGive, LIMDEP, and RATS, to mention a few. The empirical illustrations in the book utilize a variety of these softwa
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