Chapter 1 The Nature of Econometrics and Economic Data

1.1 What Is Econometrics?

1.2 Steps in Empirical Economic Analysis

1.3 The Structure of Economic Data

1.4 Causality and the Notion of Ceteris Paribus in Econometric Analysis

Summary

Key Terms

Computer Exercises

PART 1 Regression Analysis With Cross-Sectional Data

Chapter 2 The Simple Regression Model

2.1 Definition of the Simple Regression Model

2.2 Deriving the Ordinary Least Squares Estimates

2.3 Properties of OLS on Any Sample of Data

2.4 Units of Measurement and Functional Form

2.5 Expected Values and Variances of the OLS Estimators

2.6 Regression through the Origin

Summary

Key Terms

Computer Exercises

Appendix 2A

Chapter 3 Multiple Regression Analysis:Estimation

3.1 Motivation for Multiple Regression

3.2 Mechanics and Interpretation of Ordinary Least Squares

3.3 The Expected Value of the OLS Estimators

3.4 The Variance of the OLS Estimators

3.5 Efficiency of OLS:The Gauss-Markov Theorem

Summary

Key Terms

Computer Exercises

Appendix 3A

Chapter 4 Multiple Regression Analysis:Inference

4.1 Sampling Distributions of the OLS Estimators

4.2 Testing Hypotheses about a Single Population Parameter:The t Test

4.3 Confidence Intervals

4.4 Testing Hypotheses about a Single Linear Combination of the Parameters

4.5 Testing Multiple Linear Restrictions:The F Test

4.6 Reporting Regression Results

Summary

Key Terms

Computer Exercises

Chapter 5 Multiple Regression Analysis:OLS Asymptotics

5.1 Consistency

5.2 Asymptotic Normality and Large Sample Inference

5.3 Asymptotic Efficiency of OLS

Summary

Key Terms

Computer Exercises

Appendix 5A

Chapter 6 Multiple Regression Analysis with Qualitative Information:Binary(or Dummy)Variables

6.1 Describing Qualitative Information

6.2 A Single Dummy Independent Variable

6.3 Using Dummy Variables for Multiple Categories

6.4 Interactions Involving Dummy Variables

6.5 A Binary Dependent Variable:The Linear Probability Model

6.6 More on Policy Analysis and Program Evaluation

Summary

Key Terms

Computer Exercises

Chapter 7 HeterOskedasticity

7.1 Consequences of Heteroskedasticity for OLS

7.2 Heteroskedasticity-Robust Inference after OLS Estimation

7.3 Testing for Heteroskedasticity

7.4 Weighted Least Squares Estimation

7.5 The Linear Probability Model Revisited

Summary

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Computer Exercises

Chapter 8 More on Specification

8.1 Functional Form Misspecification

Summary

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Computer Exercises

PART 2 Regression Analysis with Tine Series Data

Chapter 9 Basic Regression Analysis with Time Series Data

9.1 The Nature of Time Series Data

9.2 Examples of Time Series Regression Models

9.3 Finite Sample Properties of OLS under Classical Assumptions

9.4 Functional Form,Dummy Variables,and Index Numbers

9.5 Trends and Seasonality

Summary

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Computer Exercises

Chapter 10 Further Issues in Using OLS with Time Series Data

10.1 Stationary and Nonstationary Time Series

10.2 Asymptotic Properties of OLS

10.3 Using Highly Persistent Time Series in Regression Analysis

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Key Terms

Computer Exercises

Chapter 11 Serial Correlation and Heteroskedasticity in Time Series Regressions

11.1 Properties of OLS with Serially Correlated Errors

11.2 Testing for Serial Correlation

11.3 Correcting for Serial Correlation with Strictly Exogenous Regressors

11.4 Differencing and Serial Correlation

11.5 Serial Correlation-Robust Inference after OLS

11.6 Heteroskedasticity in Time Series Regressions

Summary

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Computer Exercises

PART 3 Advanced Topics

Chapter 12 Advanced Panel Data Methods

12.1 Fixed Effects Estimation

12.2 Random Effects Models

12.3 Applying Panel Data Methods to Other Data Structures

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Computer Exercises

Appendix 12A

Chapter 13 Instrumental Variables Estimation and Two Stage Least Squares

13.1 Motivation：Omitted Variables in a Simple Regression Model

13.2 IV Estimation of the Multiple Regression Model

13.3 Two Stage Least Squares

13.4 IV Solutions to Errors-in-Variables Problems

13.5 Testing for Endogeneity and Testing Overidentifying Restrictions

13.6 2SLS with Heteroskedasticity

13.7 Applying 2SLS to Time Series Equations

Summary

Key Terms

Computer Exercises

Appendix 13A

Chapter 14 Limited Dependent Variable Models

14.1 Logit and Probit Models for Binary Response

14.2 The Tobit Model for Corner Solution Responses

Summary

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Computer Exercises

Chapter 15 Advanced Time Series Topics

15.1 Infinite Distributed Lag Models

15.2 Testing for Unit Roots

15.3 Cointegration and Error Correction Models

15.4 Forecasting

Summary

Key Terms

Computer Exercises

Appendix A The NormaI and Related Distributions

Appendix B Answers to Chapter Questions

Appendix C Statistical Tables

References