Book Description
- The updated and expanded second edition of the internationally bestselling guide to principles and practices for undergraduate business and economics students taking mandatory economics statistics courses. - Features four new sections—on nonparametric tests, the Logit Model, the Probit Model, and causality tests—complete with new models and tests used in financial econometrics, and a new chapter on time series econometrics - Over 100,000 students enrolled annually - Includes numerous examples, completely worked problems, supplementary problems, and two full-length self-examinations
Customer Reviews:
It got me through Econometrics.......2002-01-26
This was an extremely useful book for the understanding of Statistics and Econometrics. Each topic had examples to show how the formulas work. The computer chapter went over the programming in SAS, Excel, and Eviews for the problems in the book. Best of all, the problems had answers. This is a must-have for beginning statistics and econometrics since it starts from scratch, and for theory students in search of an application.
Book Description
Offering students a unifying theoretical perspective, this innovative text emphasizes nonlinear techniques of estimation, including nonlinear least squares, nonlinear instrumental variables, maximum likelihood and the generalized method of moments, but nevertheless relies heavily on simple geometrical arguments to develop intuition. One theme of the book is the use of artificial regressions for estimation, inference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, series correlation, heteroskedasticity and other types of misspecification. Other topics include the linear simultaneous equations model, non-nested hypothesis tests, influential observations and leverage, transformations of the dependent variable, binary response models, models for time-series/cross-section data, multivariate models, seasonality, unit roots and cointegration, and Monte Carlo methods, always with an emphasis on problems that arise in applied work. Explaining throughout how estimates can be obtained and tests can be carried out, the text goes beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. A comprehensive and coherent guide to the most vital topics in econometrics today, this text is indispensable for all levels of students of econometrics, economics, and statistics on regression and related topics.
Customer Reviews:
Comparison to Hayashi.......2007-03-04
We were recommended to use this book as a complement to Hayashi, which we had used as our initial primary text for the 2nd and 3rd quarter of a first-year graduate econometrics sequence.
I think I would have found the exposition here rather challenging had this been my initial text. A few comparisons between the two books:
H - GMM as organizing principle.
D&M - Least squares as organizing principle.
I think the latter was in many ways a more intuitive way of viewing these techniques (for me), but perhaps provides a less fully integrated view of the estimators.
H - Matrix algebra and first order conditions as justifying estimation techniques.
D&M - Geometric projection as justifying estimation techniques.
The geometry is a powerful tool for understanding these concepts, but I think serves me better as a complement rather than a primary motivator.
H - Treats homoskedasticity and lack of serial correlation as special cases.
D&M - Treats heteroskedasticity and serial correlation as extensions of iid models.
H - Treats nonlinear models as extensions.
D&M - Treats linear models as special cases.
H - Offers a large number of economic applications.
D&M - Basically entirely theoretical in its justification of theorems and techniques.
This would be among the most frustrating things about using D&M as a primary text.
Just a few thoughts that might be useful to someone considering this book. The organization around least squares is very useful, I think, and a geometric intuition for econometrics must be a powerful tool as one progresses in the field.
A nice book.......2005-12-04
Mackinnon's is a good one. But I would say it's a bit more difficult in terms of math and depth of expanations than Greene's one.
Nevetheless, that's my choice!
Much Better Than Green's In Terms of Quality and Price........2003-11-11
Green's textbook was the assigned text when I took my econometrics sequence. Like many others, I found it not well written and the explanations are pretty bad. Also, Green's is priced sky-high (around $100 for a brand new copy).
Davidson and MacKinnon is different. Both expositions and explanations are clear and easy to follow. I was so delighted after picking up a copy from the libarary. This is the one econometrics students should have. The price is also hard to beat. The reason I think it is not widely adopted is because of the geometric analysis of regression (Chapter 2). But if you don't like geometrics, you can simply skip it.
An improved version of this book is just published under the new title "Econometric Theory and Methods". This new version contains a chapter on unit-root and cointegration, as well as some new numerical methods. I urge interested buyers to take a look at the new version.
No one like this.......2003-03-24
It's a nice piece of work.
There is no one like this.
The only problem is the way the contents are presented. There is no a logical order that help us in a course. I agree that there is not a clear structured inside the chapters or in the entire work. But this is the book that reach the deepest point being readable. Another books are better structured or more intutive but too superficial or old-fashioned.
With the modern computers and software the old classical books based on small sample theory are unsuitable. Davidson and MacKinnon point us to the econometry of the future.
It would be a good idea to combine this book with Berndt's one on applied econometrics, plus a good software like Stata 8 or matrix-based programming software like MATLAB.
That's the best way to access the econometry.
This is the book!.......2002-03-28
I do not know better book on nonlinear estimation and inference in econometrics.
Overall the book is very well written and relatively easy to understand, considering its subject. However, if you have not been introduced to linear econometrics, the book can become very hard, mainly if the reader is not acquainted with matrix algebra.
The first chapter on the geometrics of regression is simply marvelous, although a better picture is in Ruud's.
The style is someway formal, but different from the traditional lemma-theorem-proof-corollary way. This makes the book easier to read.
Future improvements include:
a. More examples (please);
b. Make the early 2 chapters on asymptotics clearer;
c. Extend the GMM approach interconnecting it with other chapters (it's more general);
d. Put exercises, with solutions, with selected solutions, whatever, but exercises, including computational ones;
e. Some economics - this does not mean applications per se, but it means to explain where and why such techniques are necessary in the real world.
Book Description
This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the interpretation of the maximum-likelihood estimator (MLE) for misspecified probability models and gives the conditions under which parameters of interest can be consistently estimated despite misspecification and the consequences of misspecification for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. The analysis concludes with an examination of methods by which the possibility of misspecification can be empirically investigated and offers a variety of tests for misspecification.
Book Description
Citation Details
Distributed by ProQuest Information and Learning
Book Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
I develop a GMM-based framework for asymptotic inference to analyze data from surveys whose designs involve stratification and clustering. I set up the estimation problem, derive the appropriate asymptotic distribution theory as the number of clusters per stratum tends to infinity and compute asymptotic standard errors that are robust to sample-design effects. The analysis is then extended to nonparametric regression and to semiparametric estimation based on U-processes. Empirical illustrations are provided using consumption expenditure data from the complexly designed Indian national household survey.
Book Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is point estimation of the cointegration space. It is pointed out here that, due to the well known non-identification of the cointegration vectors, the parameter space is not Euclidean and the loss functions underlying the conventional Bayes estimators are therefore questionable. We present a Bayes estimator of the cointegration space which takes the curved geometry of the parameter space into account. This estimate has the interpretation of being the posterior mean cointegration space and is invariant to the order of the time series, a property not shared with many of the Bayes estimators in the cointegration literature. An overall measure of cointegration space uncertainty is also proposed. Australian interest rate data are used for illustration. A small simulation study shows that the new Bayes estimator compares favorably to the maximum likelihood estimator.
Book Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Asymptotically, semi parametric estimators of the parameters in linear structural models have the same sampling properties. In finite samples the sampling properties of these estimators vary and large biases may result for sample sizes often found in practice. With a goal of improving asymptotic risk performance and finite sample efficiency properties, we investigate the idea of combining correlated structural equation estimators with different finite and asymptotic sampling characteristics. Based on a quadratic loss measure, we present evidence that the finite sample performance of the resulting combination estimator can be notably superior to that of a leading traditional moment based estimator.
Book Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Many papers have regressed non-parametric estimates of productive efficiency on environmental variables in two-stage procedures to account for exogenous factors that might affect firms' performance. None of these have described a coherent data-generating process (DGP). Moreover, conventional approaches to inference employed in these papers are invalid due to complicated, unknown serial correlation among the estimated efficiencies. We first describe a sensible DGP for such models. We propose single and double bootstrap procedures; both permit valid inference, and the double bootstrap procedure improves statistical efficiency in the second-stage regression. We examine the statistical performance of our estimators using Monte Carlo experiments.
Book Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We introduce a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models, which specify the conditional mean and the conditional variance of a multivariate time series parametrically, but specify the multivariate distribution of the standardized innovation semiparametrically as a parametric copula evaluated at nonparametric marginal distributions. We first study large sample properties of the estimators of SCOMDY model parameters under a misspecified parametric copula, then propose pseudo likelihood ratio (PLR) tests for model selection between two SCOMDY models with possibly misspecified copulas, and finally develop PLR tests for model selection between more than two SCOMDY models. The limiting null distributions of the PLR tests do not depend on the estimation of conditional mean and conditional variance parameters, hence are very easy to simulate. Empirical applications to three and higher dimensional daily exchange rate series indicate that a SCOMDY model with a tail-dependent copula is generally preferred.
Book Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Contaminated or corrupted data typically require strong assumptions to identify parameters of interest. However, weaker assumptions often identify bounds on these parameters. This paper addresses when covariate data-variables in addition to the one of interest-tighten these bounds. First, we construct the identification region for the distribution of the variable of interest. This region demonstrates that covariate data are useless without knowledge about the distribution of erroneous data conditional on the covariates. Then, we develop bounds both on probabilities and on parameters of this distribution that respect stochastic dominance.
Book Description
Recent corporate scandals have brought attention to business ethics, yet there are few books available that cover an important aspect of this topic. In this timely study of organizational ethics and stakeholder theory - which holds that business is beholden not only to shareholders but also to customers, employees, suppliers, management, and the community - Robert Phillips challenges the idea that the theory has no "moral underpinnings" and suggests useful ways to define which groups are or are not legitimate stakeholders. This study is based on the work of John Rawls, the most widely cited moral and political philosopher of the 20th century.
Customer Reviews:
Grounding stakeholder theory on a moral foundation.......2005-09-16
This is a book that is just right for its time. Robert Phillips (not R. Edward Freeman, who wrote the foreword to the book)has taken stakeholder theory into a new dimension by grounding it in theories of organizational ethics. He makes a strong case for managing for stakeholders rather than shareholders, but more than that, discusses relevant issues such as stakeholder identity, stakeholder legitimacy and stakeholder fairness. Given the intense global interest in good corporate governance and renewed scholarly interest in business ethics, Phillips makes a meaningful contribution to the debates and to management practice by suggesting that stakeholder theory be grounded in a moral foundation. His notion of business ethics is drawn from the work of John Rawls, which suggests that companies have obligations to stakeholders based on the principles of fairness and reciprocity. An excellent and well-researched work which should help business move forward with greater confidence to create more value.
Sound coverage of organizational ethics........2005-02-23
This book is a very thorough scholarly work on organizational ethics that also contains practical advice for the manager. The specific question addressed is whether and in what way organizational ethical responsibilities extend beyond stockholders to other stakeholders.
The first and last chapters provide an overview of the issues and the implications for a practical manager: the other chapters provide thorough coverage of the range of alternative theories offered as to the ethical duty of an organization and the detailed arguments for the author's stakeholder theory.
The author's practical conclusions are that:
* The obligations to all stakeholders are fairness based and that the corporation, being recognized as a separate entity and capable of bearing legal obligations is also capable of bearing moral obligations;
* At minimum, stakeholders are those groups from whom the organization has voluntarily accepted benefits. On this definition stakeholders include financiers, employees, customers, suppliers and local communities. The author describes these as normative stakeholders and distinguishes them from derivative stakeholders, groups such as interest groups, the media and competitors who have an ability to exert influence over the organization but to whom it owes no moral obligation. He argues (perhaps controversially, as it is difficult to argue that any organization does not 'voluntarily accept benefits' from the environment) that the natural environment is not a stakeholder, but that normative stakeholders may care deeply about it, thereby making it managerially legitimate to include it;
* In answer to the question 'what do stakeholders want?', he argues that many stakeholders want some voice in organizational decision making, and should have it. Their desires can not be assumed but must be identified, which implies an obligation for open communication (without specifying any particular structures for doing so);
* The issue of priority, particularly as between normative stakeholders is a somewhat intractable issue with no clear quantitative guidelines, other than an aim at equity (rather than necessarily equality;
* The theory dismisses the idea that the ethical obligations of business are lower than those of persons and argues the exact reverse, that the nature of organizations is such that obligations are added, being to a wider range of stakeholders.
Average customer rating:
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Book Description
Accepting relentless impermanence as the ground of human experience, Words from the Soul derives a spiritual psychology from the mystery and poignancy of time-passage itself. Drawing from Wittgenstein, Kierkegaard, Heidegger, Foucault, Dostoyevsky, Buddhism, kundalini yoga, and twenty-five years of clinical/mediation experience, the author's epigrammatic insights into our struggles with mortality, gratitude, apology, and forgiveness make this book relevant to psychotherapy and conflict resolution in a wide range of professional settings.
In his exploration of the furthest-reaches of human development, Stuart Sovatsky reveals the deepest potentials of the ensouled body, transforming our views of language, sexuality, ecstatic spiritualities, and of the human life cycle.
Books:
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- The Age of the Economist (9th Edition)
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- The Consultant's Toolkit: High-Impact Questionnaires, Activities and How-to Guides for Diagnosing and Solving Client Problems
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- The Economic Growth of The United States 1790-1860
- The Essential Galbraith
- The French Challenge: Adapting to Globalization
- The Future of Capitalism: How Today's Economic Forces Shape Tomorrow's World
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![Asymptotic inference from multi-stage samples [An article from: Journal of Econometrics]](http://ec1.images-amazon.com/images/I/11Q2DQ44BZL.jpg)
