Enhanced descriptions from Syndetics:

This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course.

Explains what is going on in textbooks full of proofs and formulas
Offers intuition, skepticism, insights, humor, and practical advice (dos and don'ts)
Contains new chapters that cover instrumental variables and computational considerations
Includes additional information on GMM, nonparametrics, and an introduction to wavelets

Table of contents provided by Syndetics

• Preface (p. x)
• 2 Criteria for Estimators (p. 11)
• 14.3 Advantages of the Bayesian Approach (p. 216)
• 14.4 Overcoming Practitioners' Complaints (p. 217)
• General Notes (p. 220)
• Technical Notes (p. 226)
• 15 Dummy Variables (p. 232)
• 15.1 Introduction (p. 232)
• 15.2 Interpretation (p. 233)
• 15.3 Adding Another Qualitative Variable (p. 234)
• 15.4 Interacting with Quantitative Variables (p. 235)
• 15.5 Observation-Specific Dummies (p. 236)
• 2.1 Introduction (p. 11)
• General Notes (p. 237)
• Technical Notes (p. 240)
• 16 Qualitative Dependent Variables (p. 241)
• 16.1 Dichotomous Dependent Variables (p. 241)
• 16.2 Polychotomous Dependent Variables (p. 244)
• 16.3 Ordered Logit/Probit (p. 245)
• 16.4 Count Data (p. 246)
• General Notes (p. 246)
• Technical Notes (p. 254)
• 17 Limited Dependent Variables (p. 262)
• 2.2 Computational Cost (p. 11)
• 17.1 Introduction (p. 262)
• 17.2 The Tobit Model (p. 263)
• 17.3 Sample Selection (p. 265)
• 17.4 Duration Models (p. 267)
• General Notes (p. 269)
• Technical Notes (p. 273)
• 18 Panel Data (p. 281)
• 18.1 Introduction (p. 281)
• 18.2 Allowing for Different Intercepts (p. 282)
• 18.3 Fixed Versus Random Effects (p. 284)
• 2.3 Least Squares (p. 12)
• 18.4 Short Run Versus Long Run (p. 286)
• 18.5 Long, Narrow Panels (p. 287)
• General Notes (p. 288)
• Technical Notes (p. 292)
• 19 Time Series Econometrics (p. 296)
• 19.1 Introduction (p. 296)
• 19.2 ARIMA Models (p. 297)
• 19.3 VARs (p. 298)
• 19.4 Error Correction Models (p. 299)
• 19.5 Testing for Unit Roots (p. 301)
• 2.4 Highest R[superscript 2] (p. 13)
• 19.6 Cointegration (p. 302)
• General Notes (p. 304)
• Technical Notes (p. 314)
• 20 Forecasting (p. 331)
• 20.1 Introduction (p. 331)
• 20.2 Causal Forecasting/Econometric Models (p. 332)
• 20.3 Time Series Analysis (p. 333)
• 20.4 Forecasting Accuracy (p. 334)
• General Notes (p. 335)
• Technical Notes (p. 342)
• 2.5 Unbiasedness (p. 14)
• 21 Robust Estimation (p. 345)
• 21.1 Introduction (p. 345)
• 21.2 Outliers and Influential Observations (p. 346)
• 21.3 Guarding Against Influential Observations (p. 347)
• 21.4 Artificial Neural Networks (p. 349)
• 21.5 Nonparametric Estimation (p. 350)
• General Notes (p. 352)
• Technical Notes (p. 356)
• 22 Applied Econometrics (p. 361)
• 22.1 Introduction (p. 361)
• 2.6 Efficiency (p. 16)
• 22.2 The Ten Commandments of Applied Econometrics (p. 362)
• 22.3 Getting the Wrong Sign (p. 368)
• 22.4 Common Mistakes (p. 372)
• 22.5 What do Practitioners Need to Know? (p. 373)
• General Notes (p. 374)
• Technical Notes (p. 383)
• 23 Computational Considerations (p. 385)
• 23.1 Introduction (p. 385)
• 23.2 Optimizing via a Computer Search (p. 386)
• 23.3 Estimating Integrals via Simulation (p. 388)
• 2.7 Mean Square Error (p. 17)
• 23.4 Drawing Observations from Awkward Distributions (p. 390)
• General Notes (p. 392)
• Technical Notes (p. 397)
• Appendix A Sampling Distributions, The Foundation of Statistics (p. 403)
• Appendix B All About Variance (p. 407)
• Appendix C A Primer on Asymptotics (p. 412)
• Appendix D Exercises (p. 417)
• Appendix E Answers to Even-Numbered Questions (p. 479)
• Glossary (p. 503)
• Bibliography (p. 511)
• 2.8 Asymptotic Properties (p. 18)
• Name Index (p. 563)
• Subject Index (p. 573)
• 2.9 Maximum Likelihood (p. 21)
• Dedication (p. xii)
• 2.10 Monte Carlo Studies (p. 22)
• 2.11 Adding Up (p. 25)
• General Notes (p. 26)
• Technical Notes (p. 32)
• 3 The Classical Linear Regression Model (p. 40)
• 3.1 Textbooks as Catalogs (p. 40)
• 3.2 The Five Assumptions (p. 41)
• 3.3 The OLS Estimator in the CLR Model (p. 43)
• General Notes (p. 44)
• Technical Notes (p. 47)
• 1 Introduction (p. 1)
• 4 Interval Estimation and Hypothesis Testing (p. 51)
• 4.1 Introduction (p. 51)
• 4.2 Testing a Single Hypothesis: the t Test (p. 51)
• 4.3 Testing a Joint Hypothesis: the F Test (p. 52)
• 4.4 Interval Estimation for a Parameter Vector (p. 54)
• 4.5 LR, W, and LM Statistics (p. 56)
• 4.6 Bootstrapping (p. 58)
• General Notes (p. 59)
• Technical Notes (p. 67)
• 5 Specification (p. 71)
• 1.1 What is Econometrics? (p. 1)
• 5.1 Introduction (p. 71)
• 5.2 Three Methodologies (p. 72)
• 5.3 General Principles for Specification (p. 75)
• 5.4 Misspecification Tests/Diagnostics (p. 76)
• 5.5 R[superscript 2] Again (p. 79)
• General Notes (p. 81)
• Technical Notes (p. 89)
• 6 Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy (p. 93)
• 6.1 Introduction (p. 93)
• 6.2 Incorrect Set of Independent Variables (p. 93)
• 1.2 The Disturbance Term (p. 2)
• 6.3 Nonlinearity (p. 95)
• 6.4 Changing Parameter Values (p. 97)
• General Notes (p. 100)
• Technical Notes (p. 106)
• 7 Violating Assumption Two: Nonzero Expected Disturbance (p. 109)
• General Notes (p. 111)
• 8 Violating Assumption Three: Nonspherical Disturbances (p. 112)
• 8.1 Introduction (p. 112)
• 8.2 Consequences of Violation (p. 113)
• 8.3 Heteroskedasticity (p. 115)
• 1.3 Estimates and Estimators (p. 4)
• 8.4 Autocorrelated Disturbances (p. 118)
• 8.5 Generalized Method of Moments (p. 122)
• General Notes (p. 123)
• Technical Notes (p. 129)
• 9 Violating Assumption Four: Instrumental Variable Estimation (p. 137)
• 9.1 Introduction (p. 137)
• 9.2 The IV Estimator (p. 141)
• 9.3 IV Issues (p. 144)
• General Notes (p. 146)
• Technical Notes (p. 151)
• 1.4 Good and Preferred Estimators (p. 5)
• 10 Violating Assumption Four: Measurement Errors and Autoregression (p. 157)
• 10.1 Errors in Variables (p. 157)
• 10.2 Autoregression (p. 160)
• General Notes (p. 163)
• Technical Notes (p. 167)
• 11 Violating Assumption Four: Simultaneous Equations (p. 171)
• 11.1 Introduction (p. 171)
• 11.2 Identification (p. 173)
• 11.3 Single-Equation Methods (p. 176)
• 11.4 Systems Methods (p. 180)
• General Notes (p. 6)
• General Notes (p. 181)
• Technical Notes (p. 186)
• 12 Violating Assumption Five: Multicollinearity (p. 192)
• 12.1 Introduction (p. 192)
• 12.2 Consequences (p. 193)
• 12.3 Detecting Multicollinearity (p. 194)
• 12.4 What To Do (p. 196)
• General Notes (p. 198)
• Technical Notes (p. 202)
• 13 Incorporating Extraneous Information (p. 203)
• Technical Notes (p. 10)
• 13.1 Introduction (p. 203)
• 13.2 Exact Restrictions (p. 203)
• 13.3 Stochastic Restrictions (p. 204)
• 13.4 Pre-Test Estimators (p. 204)
• 13.5 Extraneous Information and MSE (p. 206)
• General Notes (p. 207)
• Technical Notes (p. 211)
• 14 The Bayesian Approach (p. 213)
• 14.1 Introduction (p. 213)
• 14.2 What is a Bayesian Analysis? (p. 213)

Reviews provided by Syndetics

CHOICE Review

The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. Texts in econometrics range from overly simplistic "do this and get that" to advanced mathematical proofs of the properties of estimators. Kennedy (Simon Fraser Univ.) succeeds in covering the ground where most researchers find themselves. His work allows one to quickly compare estimation procedures; places the procedure in the broader context; and provides references for advanced study. It holds a unique position among econometric texts. It is the book this reviewer consults first when considering an estimation procedure and the one looked to when interpreting estimates. The format of this edition is the same as the others, but the inclusion of a chapter on instrumental variable estimation is a welcome addition. The broad outline goes back at least to Arthur S. Goldberger's Econometric Theory (1964). Summing Up: Highly recommended. Upper-division undergraduate through professional collections. J. F. O'Connell emeritus, College of Holy Cross

Author notes provided by Syndetics

Peter Kennedy is Professor of Economics at Simon Fraser University. In addition to A Guide to Econometrics , he is author of Macroeconomic Essentials: Understanding Economics in the News, 2e (2000), and is Associate Editor of the International Journal of Forecasting , the Journal of Economic Education , and Economics Bulletin .