Econometric Analysis



Econometric Analysis

4th Edition

by

William H. Greene

A LIMDEP Guide to the Examples

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Prentice Hall, Upper Saddle River, New Jersey, 07458

Contents

Chapter 1. Introduction 1

Chapter 2. Matrix Algebra 2

Chapter 3. Probability and Distribution Theory 3

Chapter 4. Statistical Inference 5

Chapter 5. Computation and Optimization 21

Chapter 6. The Classical Multiple Linear Regression

Model - Specification and Estimation 35

Chapter 7. Inference and Prediction 48

Chapter 8. Functional Form, Nonlinearity, and

Specification 60

Chapter 9. Large Sample Results and Alternative

Estimators for the Classical Regression

Model 67

Chapter 10. Nonlinear Regression Models 79

Chapter 11. Nonspherical Disturbances, Generalized

Regression, and GMM Estimation 100

Chapter 12. Heteroscedasticity 109

Chapter 13. Autocorrelation 122

Chapter 14. Models for Panel Data 136

Chapter 15. Systems of Regression Equations 151

Chapter 16. Simultaneous Equations Models 185

Chapter 17. Regressions with Lagged Variables 207

Chapter 18. Time Series Models 235

Chapter 19. Models with Discrete Dependent Variables 255

Chapter 20. Limited Dependent Variable and Duration

Models 296

Introduction

This book contains the LIMDEP code for all of the numerical Examples in the fourth edition of Econometric Analysis. (The solutions to the exercises are in a separate volume.) Please note the following:

( We used the ‘professional’ version of LIMDEP version 7.0 for Windows, including FIML/NLOGIT 2.0 for these examples. Users of earlier versions of LIMDEP, including all versions prior to 7.0, the DOS version, and mainframe versions dated prior to 1998, may find that some of the features used here, such as complex roots of nonsymmetric matrices, are unavailable in their copy of the program. Also, a few of the solutions, such as the more intricate discrete choice models in Chapter 19, use parts of LIMDEP 7.0/W that are not available in the student version of LIMDEP 7.0/W, EA/LimDep, which is distributed with this edition of Econometric Analysis.

( Readers may observe some small differences between numerical results given here and in the text. The results given in the text are generally given based on the digits shown there, rather than on the full precision that is obtained when the same computation is done in the computer program. For example, an F statistic computed as a function of sums of squares .224 and .208 in the text, based on exactly these digits, may deviate noticeably from the counterpart computed by LIMDEP which will use a full 17 digits of precision.

This book was constructed from blocks of computer code and the output that the code produces. The programs, themselves, are provided separately, with the CD that is packaged with the textbook and on a diskette distributed with this book. Within this book, we have trimmed and rearranged the very large amount of output to retain only those results that show the solutions to the examples. Generally, a great deal of superfluous material has been discarded. What was retained was often rearranged for convenience. All numerical results produced by the computer program are retained exactly as they were displayed in the output of the program.

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