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Econometrics : theoretical foundations and empirical perspectives di Nachane, Dilip M.

Sommario: “...Foundations of probability and related statistical concepts Introduction Mathematical preliminaries Axiomatic approach to probability Elements of measure theory and lebesgue integration Random variables and distribution functions Moments, generating functions and cumulants Classical inference Asymptotic theory Estimation theory Hypothesis testing theory Linear regression models Single equation models General linear model relaxation of assumptions (part I) General linear model relaxation of assumptions (part II) Simultaneous equation models Time series models (including VARs and spectral analysis) Time series analysis (Box-Jenkins methods) Univariate spectral analysis Time series analysis : further topics Multivariate time series modelling Dynamic econometric methods (including causality, exogeneity, unit roots, and cointegration) Forecasting theory and methods Causality and exogeneity Unit roots and fractional differencing Cointegration A methodological epilogue...”