By Arthur S. Goldberger
Учебник по эконометрике на английском, рекомендованный 1 курсу магистратуры Российской экономической школы (РЭШ).This booklet is a superb selection for first yr graduate econometrics classes since it offers an excellent beginning in statistical reasoning in a way that's either transparent and concise. It addresses a couple of matters which are of crucial significance to constructing practitioners and theorists alike and achieves this in a reasonably nontechnical manner...The subject matters addressed listed below are hardly given any such thorough therapy in econometrics textbooks. for instance, in discussions of bivariate distributions, Goldberger issues out that uncorrelated general random variables will not be self sufficient, seeing that a nonnormal bivariate distribution can generate common marginal distributions. different texts more often than not go away readers with the influence that uncorrelated common random variables are self sustaining irrespective of their joint distribution...A path in Econometrics is rigorous, it makes scholars imagine difficult approximately vital matters, and it avoids a cookbook method. For those purposes, I strongly suggest it as a uncomplicated textual content for all first yr graduate econometrics courses.
--Douglas G. Steigerwald (Econometric conception )[A path in Econometrics] strike(s) the correct stability among mathematical rigour and intuitive consider. It goals to arrange scholars for empirical study but in addition those that pass directly to extra complicated econometrics...The ebook is especially transparent and intensely distinct. it truly is outfitted on quite a few extremely simple ideas. i believe that scholars will love it a great deal. I congratulate Professor Goldberger with having written a really necessary book.
--Jan R. Magnus (Economic magazine )Undoubtedly the easiest Ph.D. point econometrics textbook on hand this day. The analogy precept of estimation serves to unify the remedy of quite a lot of subject matters which are on the beginning of empirical economics. The notation is concise and constantly used in the course of the text...Students have expressed savor unraveling the proofs and lemmas. it is a excitement to coach from this booklet. urged for any severe economics scholar or somebody attracted to learning the rules underlying utilized economics.
--Michael Hazilla, American University
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Additional resources for A Course in Econometrics
It induced Haavelmo to focus his attention on formalizing several technical aspects of estimating the coefficients of a simultaneous-equation model (SEM) based upon Frisch's idea of a weight system. His work in the area soon proved to be fruitful and influential (see Chapters 2, 3, and 4), and his achievements in turn helped to sharpen his philosophical insight in econometrics, A major event that launched Haavelmo into a thorough advocacy of the probability approach, and therefore into leading a probability revolution in econometrics was the well-known debate around 1940 started by J.
Since probability theory underlay both types of method, its acceptance came inevitably with studies of the randomness in economic time-series. It was inherent in the importance of these studies, as seen from his argument: A thorough analysis of the random element in economic time-series is very important for the following reason: Any statistical comparison of time-series or their components or characteristics must be based on the theory of probability on which all statistical methods necessarily rest.
The development of the limited information maximum-likelihood (LIML) estimation method remained the main achievement of the Cowles group (see Chapter 3), Its second achievement—identification theory in terms of order and rank conditions—was quite independent of aoy probability theory (see Chapter 4). The issue of model choice with respect to statistical inference was ignored (see Koopmans 1950: 44; also eh. 2), Based upon the assumption of given structural models, the Cowles workers spared little effort in devising hypothesis-testing methods (see Chapter 5), Through their work, the influence of Haavelmo's approach was reduced to a spectrum of estimation, identification, testing, and specification, each of which was to grow increasingly independent of the others as the technical complications involved became more numerous.