This book is an ideal introduction for beginning students of econometrics that assumes only basic familiarity with matrix algebra and calculus. It features practical questions which can be answered using econometric methods and models. Focusing on a limited number of the most basic and widely used methods, the book reviews the basics of econometrics before concluding with a number of recent empirical case studies. The volume is an intuitive illustration of what econometricians do when faced with practical questions.

1.Empirical Relations 1.1 Theoretical and Empirical Relations 1.2 Sample Means and Population Means 1.3 Sampling 1.4 Estimation Exercises 2. Univariate Probability Distributions 2.1 Introduction 2.2 Discrete Case 2.3 Continuous Case 2.4 Mixed Case 2.5 Functions of Random Variables Exercises 3. Expectations: Univariate Case 3.1 Expectations 3.2 Moments 3.3 Theorems on Expectations 3.4 Prediction 3.5 Expectations and Probability Exercises 4. Bivariate Probability Distributions 4.1 Joint Distributions 4.2 Marginal Distributions 4.3 Conditional Distributions Exercises 5. Expectations: Bivariate Case 5.1 Expectations 5.2 Conditional Expectations 5.3 Conditional Expectation Function 5.4 Prediction 5.5 Conditional Expectations Exercises 6. Independence in a Bivariate Distribution 6.1 Introduction 6.2 Stochastic Independence 6.3 Roles of Stochastic Independence 6.4 Mean-Independence and Uncorrelatedness 6.5 Types of Independence6.6 Strength of a Relation 7. Normal Distributions 7.1 Univariate Normal Distribution 7.2 Standard Bibariate Normal Distribution 7.3 Bivariate Normal Distribution 7.4 Properties of Bivariate Normal Distribution 7.5 Remarks Exercises 8. Sampling Distributions: Univariate Case 8.1 Random Sample 8.2 Sample Statistics 8.3 The Sample Mean 8.4 Sample Moments 8.5 Chi-square and Student''s t Distributions 8.6 Sampling from a Normal PopulationExercises 9. Asymptotic Distribution Theory 9.1 Introduction 9.2 Sequences of Sample Statistics 9.3 Asymptotics of the Sample Mean 9.4 Asymptotics of Sample Moments 9.5 Asymptotics of Functions of Sample Moments 9.6 Asymptotics of Some Sample Statistics 10. Sampling Distributions: Bivariate Case 10.1 Introduction 10.2 Sample Covariance 10.3 Pair of Sample Means 10.4 Ratio of Sample Means 10.5 Sample Slope 10.6 Variance of Sample Slope Exercises 11. Parameter Estimation 11.1 Introduction 11.2 The Analogy Principle 11.3 Criteria for an Estimator 11.4 Asymptotic Criteria 11.5 Confidence Intervals Exercises 12. Advanced Estimation Theory 12.1 The Score Variable 12.2 Cramér-Rao Inequality 12.3 ZES-Rule Estimation12.4 Maximum Likelihood Estimation Exercises 13. Estimating a Population Relation 13.1 Introduction 13.2 Estimating a Linear CEF 13.3 Estimating a Nonlinear CEF13.4 Estimating a Binary Response Model 13.5 Other Sampling Schemes Exercises 14. Multiple Regression 14.1 Population Regression Function 14.2 Algebra for Multiple Regression 14.3 Ranks of X and Q 14.4 The Short-Rank Case 14.5 Second-Order Conditions Exercises 15. Classical Regression: Interpretation and Application 15.1 Matrix Algebra for Random Variables 15.2 Classical Regression Model 15.3 Estimation of B15.4 Gauss-Markov Theorem 15.5 Estimation of o2 and V(b)Exercises 16. Classical Regression: Interpretation and Application 16.1 Interpretation of the Classical Regression Model 16.2 Estimation of Linear Functions of B 16.3 Estimation of Conditional Expectation, and Prediction 16.4 Measuring Goodness of Fit Exercises Regression Algebra 17.1 Regression Matrices 17.2 Short and Long Regression Algebra 17.3 Residual Regression 17.4 Applications of Residual Regression 17.5 Short and Residual Regressions in the Classical Regression Model Exercises 18. Multivariate Normal Distribution 18.1 Introduction 18.2 Multivariate Normality 18.3 Functions of a Standard Normal Vector 18.4 Quadratic Forms in Normal Vectors Exercises Classical Normal Regression 19.1 Classical Normal Regression Model 19.2 Maximum Likelihood Estimation 19.3 Sampling Distributions 19.4 Confidence Intervals 19.5 Confidence Regions 19.6 Shape of the Joint Confidence Region Exercises 20. CNR Model: Hypothesis Testing 20.1 Introduction 20.2 Test on a Single Parameter 20.3 Test on a Set of Parameters 20.4 Power of the Test 20.5 Noncentral Chi-square Distribution Exercises 21. CNR Model: Inference with o2 Unknown 21.1 Distribution Theory 21.2 Confidence Intervals and Regions 21.3 Hypothesis Tests 21.4 Zero Null Subvector Hypothesis Exercises 22. Issues in Hypothesis Testing 22.1 Introduction 22.2 General Linear Hypothesis 22.3 One-Sided Alternatives 22.4 Choice of Significance Level 22.5 Statistical versus Economic Significance 22.6 Using Asymptotics 22.7 Inference without Normality Assumption Exercises 23. Multicollinearity 23.1 Introduction 23.2 Textbook Discussions 23.3 Micronumerosity 23.4 When Multicollinearity Is Desirable 23.5 Remarks Exercises 24. Regression Strategies 24.1 Introduction 24.2 Shortening Regression 24.3 Mean Squared Error 24.4 Pretest Estimation 24.5 Regression Fishing Exercises 25. Regression with X Random 25.1 Introduction 25.2 Neoclassical Regression Model 25.3 Properties of Least Squares Estimation 25.4 Neoclassical Normal Regression Model 25.5 Asymptotic Properties of Least Squares Estimation Exercises 26. Time Series 26.1 Departures from Random Sampling 26.2 Stationary Population Model 26.3 Conditional Expectation Functions 26.4 Stationary Processes 26.5 Sampling and Estimation 26.6 Remarks Exercises 27. Generalized Classical Regression 27.1 Generalized Classical Regression Model 27.2 Least Squares Estimation 27.3 Generalized Least Squares Estimation 27.4 Remarks on GLS Estimation 27.5 Feasible Generalized Least Squares Estimation 27.6 Extensions of the GCR Model Exercises 28. Heteroskedasticity and Autocorrelation 28.1 Introduction 28.2 Pure Heteroskedasticity 28.3 First-Order Autoregressive Process 28.4 Remarks Exercises 29. Nonlinear Regression 29.1 Nonlinear CEF''s 29.2 Estimation 29.3 Computation of the Nonlinear Least Squares Estimator 29.4 Asymptotic Properties 29.5 Probit Model Exercises 30. Regression Systems 30.1 Introduction 30.2 Stacking 30.3 Generalized Least Squares 30.4 Comparison of GLS and LS Estimators 30.5 Feasible Generalized Least Squares 30.6 Restrictions 30.7 Alternative Estimators Exercises 31. Structural Equation Models 31.1 Introduction 31.2 Permanent Income Model 31.3 Keynesian Model 31.4 Estimation of the Keynesian Model 31.5 Structure versus Regression Exercises 32. Simultaneous-Equation Model 32.1 A Supply-Demand Model 32.2 Specification of the Simultaneous-Equation Model 32.3 Sampling 32.4 Remarks 33. Identification and Restrictions 33.1 Introduction 33.2 Supply-Demand Models 33.3 Uncorrelated Disturbances 33.4 Other Sources of Identification Exercises 34. Estimation in the Simultaneous-Equation Model 34.1 Introduction 34.2 Indirect Feasible Generalized Least Squares 34.3 Two-Stage Least Squares 34.4 Relation between 2SLS and Indirect-FGLS 34.5 Three-Stage Least Squares 34.6 Remarks Exercises Appendix A. Statistical and Data Tables Appendix B. Getting Started in GAUSS References Index

Vol. I: This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors. Vol. II: This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Vol. I: This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors. Vol. II: This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

When John Maynard Keynes likened Jan Tinbergen's early work in econometrics to black magic and alchemy, he was expressing a widely held view of a new discipline. However, even after half a century of practical work and theorizing by some of the most accomplished social scientists, Keynes' comments are still repeated today. This book assesses the foundations and development of econometrics and sets out a basis for the reconstruction of the foundations of econometric inference by examining the various interpretations of probability theory that underlie econometrics.