A01=Fumio Hayashi
Addition
Almost surely
Asymptotic distribution
Augmented Dickey-Fuller test
Author_Fumio Hayashi
Autocorrelation
Autocovariance
Autoregressive model
Big O notation
Block matrix
Calculation
Category=KCH
Coefficient
Cointegration
Conditional expectation
Consistent estimator
Convergence of random variables
Covariance matrix
Degrees of freedom (statistics)
Derivative
Dummy variable (statistics)
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equation
Error term
Errors and residuals
Estimation
Estimator
Existential quantification
Expected value
Finite difference
Generalized method of moments
Independent and identically distributed random variables
Inference
Instrumental variable
Inverse function
Invertible matrix
Joint probability distribution
Least squares
Likelihood-ratio test
Linear combination
Linear function
Linear regression
Linearity
Loss function
Martingale difference sequence
Maximum likelihood estimation
Moment (mathematics)
Multivariate normal distribution
Normal distribution
Nuisance parameter
Null hypothesis
Observational error
Orthogonality
Parameter
Point estimation
Probability
Random variable
Regression analysis
Sampling error
Scientific notation
Special case
Square root
Standard error
Stationary process
Statistic
Statistical hypothesis testing
Subset
Summation
Test statistic
Theorem
Time series
Variable (mathematics)
Variance
Product details
- ISBN 9780691010182
- Weight: 1389g
- Dimensions: 178 x 254mm
- Publication Date: 19 Nov 2000
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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Hayashi's Econometrics promises to be the next great synthesis of modern econometrics. It introduces first year Ph.D. students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration. The book is also distinctive in developing both time-series and cross-section analysis fully, giving the reader a unified framework for understanding and integrating results. Econometrics has many useful features and covers all the important topics in econometrics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models (such as probit and tobit) are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient manner.
Eight of the ten chapters include a serious empirical application drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises at the end of each chapter provide students a hands-on experience applying the techniques covered in the chapter. The exposition is rigorous yet accessible to students who have a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions, so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses.
Fumio Hayashi is a professor at the National Graduate Institute for Policy Studies in Tokyo. He has taught at the University of Tokyo, Columbia University, and the University of Pennsylvania. He is the author of Understanding Saving: Evidence from the United States and Japan.
