Econometrics

計量經濟學

基本信息

Author：Fumio Hayashi

Format：Hardback | 712 pages

Dimensions：178 x 254 x 42.42mm | 1,389g

Publication date：19 Nov 2000

Publisher：Princeton University Press

Language: English

ISBN10：0691010188

ISBN13：9780691010182

頁面參數僅供參考，具體以實物為準

書籍簡介

計量經濟學有許多有用的特徵，並以簡潔的方式涵蓋了計量經濟學中所有重要的主題。所有可能在第一年研究生課程中教授的估計技術，除了*似然，都被視為GMM(廣義矩方法)的特殊情況。各種模型(如probit和tobit)的*似然估計在單獨的一章中收集。這種安排使學生能夠有效地學習各種估計技術。十章中的八章包括了從勞動經濟學、產業組織、國內和國際金融和宏觀經濟學中提取的嚴肅的實證應用。這些在每一章末尾的經驗練習為學生提供了一個應用本章所涵蓋技術的動手經驗。説明是嚴格的，但對學生誰有一個工作的知識非常基本的線性代數和概率論。所有的結果都以命題的形式陳述，這樣學生就可以看到討論的要點，以及這些結果所處的條件。文中大部分命題都得到了證明。

對於那些想要寫應用主題的論文的人來説，這本書的實證應用是一個學習如何進行實證研究的好方法。對於理論傾向者，對基本技術的不妥協處理是為更高級的理論課程做準備。

Econometrics has many useful features and covers all the important topics in econometrics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models (such as probit and tobit) are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient manner. Eight of the ten chapters include a serious empirical application drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises at the end of each chapter provide students a hands-on experience applying the techniques covered in the chapter. The exposition is rigorous yet accessible to students who have a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions, so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text.

For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses.

作者簡介

林文夫是東京大學的經濟學教授，教授宏觀經濟學和計量經濟學。此前，他曾在賓夕法尼亞大學和哥倫比亞大學任教。他是《理解拯救:來自美國和日本的證據》一書的作者。

Fumio Hayashi is Professor of Economics at the University of Tokyo, where he teaches macroeconomics and econometrics. Previously, he has taught at the University of Pennsylvania and at Columbia University. He is the author of Understanding Saving: Evidence from the United States and Japan.