E-Book Overview
This book has two objectives. The first is to introduce students to applied econometrics, including basic techniques in regression analysis and some of the rich variety of models that are used when the linear model proves inadequate or inappropriate. The second is to present students with sufficient theoretical background that they will recognize new variants of the models learned about here as merely natural extensions that fit within a common body of principles. Thus, I have spent what might seem to be a large amount of effort explaining the mechanics of GMM estimation, nonlinear least squares, and maximum likelihood estimation and GARCH models. To meet the second objective, this book also contains a fair amount of theoretical material, such as that on maximum likelihood estimation and on asymptotic results for regression models. Modern software has made complicated modeling very easy to do, and an understanding of the underlying theory is important.
E-Book Content
Greene-50240 gree50240˙FM July 10, 2002 12:51 FIFTH EDITION ECONOMETRIC ANALYSIS Q William H. Greene New York University Upper Saddle River, New Jersey 07458 iii Greene-50240 gree50240˙FM July 10, 2002 12:51 CIP data to come Executive Editor: Rod Banister Editor-in-Chief: P. J. Boardman Managing Editor: Gladys Soto Assistant Editor: Marie McHale Editorial Assistant: Lisa Amato Senior Media Project Manager: Victoria Anderson Executive Marketing Manager: Kathleen McLellan Marketing Assistant: Christopher Bath Managing Editor (Production): Cynthia Regan Production Editor: Michael Reynolds Production Assistant: Dianne Falcone Permissions Supervisor: Suzanne Grappi Associate Director, Manufacturing: Vinnie Scelta Cover Designer: Kiwi Design Cover Photo: Anthony Bannister/Corbis Compo