Statistics and Econometric Models

Volume 1 , General Concepts, Estimation, Prediction and Algorithms

Statistics and Econometric Models

This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. It is a well-integrated textbook presenting a wide diversity of models in a coherent and unified framework. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. Although the two volumes do not demand a high level of mathematical knowledge, they do draw on linear algebra and probability theory. The breadth of approaches and the extensive coverage of this two-volume work provide for a thorough and entirely self-contained course in modern economics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.

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Statistics and Econometric Models Volume 2

Christian Gourieroux, Alain Monfort, Translated by Quang Vuong

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Book DOI: http://dx.doi.org/10.1017/CBO9780511751950