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
Fourth Edition
123
Professor Badi H. Baltagi Syracuse University Center for Policy Research 426 Eggers Hall Syracuse, NY 13244-1020 USA [email protected]
ISBN 978-3-540-76515-8
e-ISBN 978-3-540-76516-5
DOI 10.1007/978-3-540-76516-5 Library of Congress Control Number: 2007939803 c 2008 Springer-Verlag Berlin Heidelberg 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. Production: LE-TEX Jelonek, Schmidt & Vöckler GbR, Leipzig Coverdesign: WMX Design GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
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Preface This book is intended for a first year graduate course in econometrics. Courses requiring matrix algebra as a pre-requisite to econometrics can start with Chapter 7. Chapter 2 has a quick refresher on some of the required background needed from statistics for the proper understanding of the material in this book. For an advanced undergraduate/masters class not requiring matrix algebra, one can structure a course based on Chapter 1; Section 2.6 on descriptive statistics; Chapters 3-6; Section 11.1 on simultaneous equations; and Chapter 14 on time-series analysis. 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 software packages. Of course, these packages have different advantages and disadvantages. However, for the basic
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