Econometrics. An introduction. (Q5899163)

This is an elementary textbook on econometrics suited for students who are more interested in the (economic) substance of the subject rather than in formal treatments. Nevertheless, a more formal treatment as well as some proofs of the theorems are given in the appendices following most of the chapters. Instead of a rigorous formal treatment the author emphasizes the four steps in applied econometric research, namely specification, estimation, testing, and forecasting. Along these four principles he develops the fundamental issues of econometrics and discusses the necessary assumptions to be made, and their meaning and consequences for estimation and testing if these assumptions are violated. Accordingly, several chapters are devoted to the problems of autocorrelation in the residuals, heteroskedasticity, non-normal error distributions, structural breaks, lagged dependent variables, nonlinear relationships, etc. The first twelve chapters develop the basic regression models as well as the standard linear multiple regression models, including estimation techniques as well as testing procedures. Part III of the book discusses the econometric problems associated with violations of the basic assumptions and covers chapters 13 to 21. Dynamic models and simultaneous equation systems are treated in the final chapters 22 and 23. The book also contains a short discussion on unit roots and integrated processes. Advanced econometric and time series procedures are not presented in this book. Therefore, it is very elementary and may serve as an introduction into econometrics for undergraduate students with a small formal background.