INTRODUCTORY ECONOMETRICS WITH APPLICATIONS, 5ed
by RAMU RAMANATHAN


TABLE OF CONTENTS


PART I: BACKGROUND

Chapter 1 Introduction

   1.1   What is Econometrics?
   1.2   Basic Ingredients of an Empirical Study
   1.3   Empirical Project
         Summary
         Key Terms
         Exercises

Chapter 2 Review of Probability and Statistics

   2.1   Random Variables and Probability Distributions
   2.2   Mathematical Expectation, Mean, and Variance
   2.3   Joint Probabilities, Covariance, and Correlation
   2.4   Random Sampling and Sampling Distributions
   2.5   Procedures for the Estimation of Parameters
   2.6   Properties of Estimators
   2.7   The Chi-square, t-, and F-distributions
   2.8   Testing Hypotheses
   2.9   Interval Estimation
         Key Terms
         References
         Practice Computer Sessions
         Exercises
   2.A   Appendix:  Miscellaneous Derivations
         2.A.1   Certain Useful Results on Summations
         2.A.2   Multivariate Distributions
         2.A.3   Maximization and Minimization
         2.A.4   More on Estimation

PART II: BASICS

Chapter 3 The Simple Linear Regression Model

      3.1   The Basic Model
      3.2   Estimation of the Basic Model by the Method of Ordinary
            Least Squares (OLS)
      3.3   Properties of Estimators
      3.4   The Precision of the Estimators and the Goodness of Fit
      3.5   Tests of Hypotheses
      3.6   Scaling and Units of Measurement
      3.7   Application: Estimating an Engel Curve Relation Between
            Expenditure on Health Care and Income
      3.8   Confidence Intervals
      3.9   Forecasting
      3.10  Causality in a Regression Model
      3.11  Application:  Relation Between Patents and the Expenditures on
            Research and Development (R&D)
            Summary
            Key Terms
            References
            Exercises
   3.A   Appendix:  Miscellaneous Derivations
         3.A.1  Three Dimensional Representation of the Simple
                Linear Model
         3.A.2  More Results on Summations
         3.A.3  Derivation of the Normal Equations by Least Squares
         3.A.4  Best Linear Unbiased Estimation (BLUE) and the
                Gauss-Markov Theorem
         3.A.5  Maximum Likelihood Estimation
         3.A.6  Derivation of the Variances of the Estimators
         3.A.7  Unbiased Estimator of the Variance of the Error Term
         3.A.8  Derivation of Equation 3.26
         3.A.9  Derivation of Equation 3.27a
         3.A.10 Proof that rsquare(x,y) = Rsquared for a Simple
                Regression Model
         3.A.11 Derivation of Equation 3.29
         3.A.12 Derivation of Equation 3.30

Chapter 4 Multiple Regression Models

      4.1   Normal Equations
      4.2   Goodness of fit
      4.3   General Criteria for Model Selection
      4.4   Testing Hypotheses
      4.5   Specification Errors
      4.6   Application:  The Determinants of the Demand for Bus Travel
      4.7   Application:  Women's Labor Force Participation
      4.8   Empirical Example:  Net Migration Rates and the Quality of Life
      4.9   Empirical Project
            Summary
            Key Terms
            References
            Exercises
      4.A   Appendix:  Miscellaneous Derivations
             4.A.1  The Three-Variable Regression Model
             4.A.2  Bias Due to the Omission of a Relevant Variable
             4.A.3  Proof of Property 4.4

Chapter 5 Multicollinearity

      5.1   Examples of Multicollinearity
      5.2   Exact Multicollinearity
      5.3   Near Multicollinearity
      5.4   Applications
            Summary
            Key Terms
            References
            Exercises
      5.A   Appendix:  Derivation of Equations (5.4) through (5.6)

PART III: EXTENSIONS

Chapter 6 Choosing Functional Forms and Testing for Model Specification

      6.1   Review of Exponential and Logarithmic Functions
      6.2   Linear-log Relationship
      6.3   Reciprocal Transformation
      6.4   Polynomial Curve Fitting
      6.5   Interaction Terms
      6.6   Lags in Behavior (Dynamic Models)
      6.7   Application:  Relation Between Patents and R&D Expenses Revisited
      6.8   Log-linear Relationship (or Semilog Model)
      6.9   Comparison of Rsquared values between Models
      6.10  The Double-log (or Log-Log) Model
      6.11  Application:  Estimating Elasticities of Demand for Bus Travel
      6.12  Miscellaneous Other Models
      6.13  The Hendry/LSE Approach of Modeling from "General to Simple"
      6.14  "Simple to General" Modeling Using the Lagrange Multiplier Test
      6.15  Ramsey's RESET Procedure for Regression Specification Error
            Summary
            Key Terms
            References
            Exercises
      6.A   Appendix:  More Details on LR, Wald, and LM Tests
            6.A.1  Likelihood Ratio Test
            6.A.2  The Wald Test
            6.A.3  The Lagrange Multiplier Test

Chapter 7 Qualitative (or Dummy) Independent Variables

      7.1   Qualitative Variables with Two Categories only
      7.2   Qualitative Variables with Many Categories
      7.3   The Effect of Qualitative Variables on the Slope Term
            (Analysis of Covariance)
      7.4   Application:  Covariance Analysis of the Wage Model
      7.5   Estimating Seasonal Effects
      7.6   Testing for Structural Change
      7.7   Empirical Example:  Motor Carrier Deregulation
      7.8   Application:  The Demand for a Sealant Used in Construction
      7.9   Empirical Project
            Summary
            Key Terms
            References
            Exercises

PART IV: SOME SPECIAL ISSUES WITH CROSS-SECTION AND TIME SERIES DATA

Chapter 8 Heteroscedasticity

      8.1   Consequences of Ignoring Heteroscedasticity
      8.2   Testing for Heteroscedasticity
      8.3   Estimation Procedures
      8.4   Application:  A Model of the Expenditure on Health Care in the U.S.
      8.5   Empirical Project
            Summary
            Key Terms
            References
            Exercises

Chapter 9 Serial Correlation

      9.1   Serial Correlation of the First Order
      9.2   Consequences of Ignoring Serial Correlation
      9.3   Testing for First-Order Serial Correlation
      9.4   Treatment of Serial Correlation
      9.5   Higher Order Serial Correlation
      9.6   Engle's ARCH Test
      9.7   Application:  Demand for Electricity
            Summary
            Key Terms
            References
            Exercises
      9.A   Appendix:  Miscellaneous Derivations   
            9.A.1  Proof that the DW d is approximately 2(1-rhohat)
            9.A.2  Properties of uhat sub t when it is AR(1)
            9.A.3  Treatment of the First Observation under AR(1)

Chapter 10 Distributed Lag Models

      10.1   Lagged Independent Variables
      10.2   Lagged Dependent Variables
      10.3   Lagged Dependent Variables and Serial Correlation
      10.4   Estimation of Models with Lagged Dependent Variables
      10.5   Application:  A Dynamic Model of Consumption Expenditures
             in the United Kingdom
      10.6   Application:  Hourly Electricity Load Model Revisited
      10.7   Unit Roots and the Dickey-Fuller Tests
      10.8   Error Correction Models (ECM)
      10.9   Application:  An Error Correction Model of U.S. Defense
             Expenditures
      10.10  Cointegration
      10.11  Causality
      10.12  Pooling Cross Section and Time Series Data (or Panel Data)
      10.13  Empirical Project
             Summary
             Key Terms
             References
             Exercises

PART V: SPECIAL TOPICS

Chapter 11 Forecasting

      11.1   Fitted Values, Ex-post, and Ex-ante Forecasts
      11.2   Evaluation of Models
      11.3   Conditional and Unconditional Forecasts
      11.4   Forecasting from Time Trends
      11.5   Combining Forecasts
      11.6   Forecasting from Econometric Models
      11.7   Forecasting from Time Series Models
             Summary
             Key Terms
             References
             Exercises

Chapter 12 Qualitative and Limited Dependent Variables

      12.1   Linear Probability (or Binary Choice) Models
      12.2   The Probit Model
      12.3   The Logit Model
      12.4   Limited Dependent Variables
             Summary
             Key Terms
             References
             Exercises

Chapter 13 Simultaneous Equation Models

      13.1   Structure and Reduced Forms of Simultaneous Equation Models
      13.2   Consequences of Ignoring Simultaneity
      13.3   The Identification Problem
      13.4   Estimation Procedures
      13.5   Empirical Example:  Regulation in the Contact Lens Industry
      13.6   Application:  A Simple Keynesian Model
             Summary
             Key Terms
             References
             Exercises
      13.A   Appendix:  Derivation of the Limits for OLS Estimates

PART VI: PRACTICE

Chapter 14 Carrying out an Empirical Project

      14.1   Selecting a Topic
      14.2   Review of Literature
      14.3   Formulating a General Model
      14.4   Collecting the Data
      14.5   Empirical Analysis
             Keyterms

Appendix A Statistical Tables Appendix B Answers to Selected Exercises Appendix C Practice Computer Sessions Appendix D Descriptions of the Data