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Statistical Methods in Econometrics (Hardcover)
Loot Price: R3,498
Discovery Miles 34 980
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Statistical Methods in Econometrics (Hardcover)
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Total price: R3,518
Discovery Miles: 35 180
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Statistical Methods in Econometrics is appropriate for beginning
graduate courses in mathematical statistics and econometrics in
which the foundations of probability and statistical theory are
developed for application to econometric methodology. Because
econometrics generally requires the study of several unknown
parameters, emphasis is placed on estimation and hypothesis testing
involving several parameters. Accordingly, special attention is
paid to the multivariate normal and the distribution of quadratic
forms. Lagrange multiplier tests are discussed in considerable
detail, along with the traditional likelihood ration and Wald
tests. Characteristic functions and their properties are fully
exploited. Also asymptotic distribution theory, usually given only
cursory treatment, is discussed in detail.
The book assumes a working knowledge of advanced calculus
(including integral calculus) basic probability and statistics, and
linear algebra. Important properties from matrix algebra are
summarized in the appendix. Numerous examples, exercises, and
practice problems are included.
Key Features
* Covers both multivariate analysis and matrix algebra
* Focuses on newer tests of hypotheses such as the Lagrange
multiplier test
* Discusses characteristic functions in depth
* Material has evolved during 15 years of classroom instruction
General
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