Introduction to econometrics

There have been many important developments in econometrics during the last two decades, but introductory books in the field still deal mostly with what econometrics was in the 1960's. The present book is meant to familiarize students (and researchers) with some of these developments, explaining them with very simple models without cluttering up the exposition with too much algebraic detail. Where proofs involve complicated expressions they are omitted and appropriate references are given. Ten of the more difficult sections have been marked with an asterisk indicating that they are optional. Beginning students can skip them and proceed. The book also contains several examples illustrating the techniques at each stage, and where illustrations are not given, some data sets have been provided so that students can compute the required results themselves.

Since the book covers quite a few topics, only a few examples have been given to illustrate each point. Giving too many illustrations for a single point might be bor ing for some students and would have made the book much too bulky. The study guide contains more illustrative examples, data sets, and questions and answers. The exercises given at the end of each chapter are somewhat challenging. How ever, the study guide contains answers or guidelines. The study guide also gives a "guided tour" of the material in each chapter as well as some detailed explanations for some points that are touched briefly in the book.

Some of the questions at the end of the chapters have been taken from the examinations at several U.S. and U.K. universities, and from P. C. B. Phillips and M. R. Wickens, Exercises in Econometrics (Cambridge, Massachusetts, Ballinger Publishing Co., 1978), Vol. I. (Many of the questions in that book are from ex aminations in the U.K. universities.) Since questions tend to get repeated with minor changes, I have not bothered to quote the exact source for each question. There are many distinguishing features of the book, some of which are:

1. A discussion of aims and methodology of econometrics in Chapter 1.

2. A critique of conventional significance levels in Chapter 2.

3. A discussion of direct versus reverse regression and inverse prediction in Chapter 3.

4. A thorough discussion of several practically useful results in multiple regression. (Chapter 4), some of which are not to be found even in specialized books on regression.