Economia
Páginas: 1924 (480949 palabras)
Publicado: 16 de octubre de 2012
Greene-50240
gree50240˙FM
July 10, 2002
12:51
ECONOMETRIC ANALYSIS
Q
i
Greene-50240
gree50240˙FM
July 10, 2002
12:51
ii
Greene-50240
gree50240˙FM
July 10, 2002
12:51
FIFTH EDITION
ECONOMETRIC ANALYSIS
Q
William H. Greene
New York University
Upper Saddle River, New Jersey 07458
iii
Greene-50240
gree50240˙FM
July 10, 200212:51
CIP data to come
Executive Editor: Rod Banister Editor-in-Chief: P. J. Boardman Managing Editor: Gladys Soto Assistant Editor: Marie McHale Editorial Assistant: Lisa Amato Senior Media Project Manager: Victoria Anderson Executive Marketing Manager: Kathleen McLellan Marketing Assistant: Christopher Bath Managing Editor (Production): Cynthia Regan Production Editor: Michael ReynoldsProduction Assistant: Dianne Falcone Permissions Supervisor: Suzanne Grappi Associate Director, Manufacturing: Vinnie Scelta Cover Designer: Kiwi Design Cover Photo: Anthony Bannister/Corbis Composition: Interactive Composition Corporation Printer/Binder: Courier/Westford Cover Printer: Coral Graphics Credits and acknowledgments borrowed from other sources and reproduced, with permission, in thistextbook appear on appropriate page within text (or on page XX). Copyright © 2003, 2000, 1997, 1993 by Pearson Education, Inc., Upper Saddle River, New Jersey, 07458. All rights reserved. Printed in the United States of America. This publication is protected by Copyright and permission should be obtained from the publisher prior to any prohibited reproduction, storage in a retrieval system, ortransmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to: Rights and Permissions Department. Pearson Education LTD. Pearson Education Australia PTY, Limited Pearson Education Singapore, Pte. Ltd Pearson Education North Asia Ltd Pearson Education, Canada, Ltd Pearson Educación de Mexico, S.A. de C.V. PearsonEducation–Japan Pearson Education Malaysia, Pte. Ltd
10 9 8 7 6 5 4 3 2 1 ISBN 0-13-066189-9
iv
Greene-50240
gree50240˙FM
July 10, 2002
12:51
For Margaret and Richard Greene
v
Greene-50240
gree50240˙FM
July 10, 2002
12:51
vi
Greene-50240
gree50240˙FM
July 10, 2002
12:51
BRIEF CONTENTS
Q
Chapter 1 Chapter 2 Chapter 3 Chapter 4 Chapter 5Chapter 6 Chapter 7 Chapter 8 Chapter 9 Chapter 10 Chapter 11 Chapter 12 Chapter 13 Chapter 14 Chapter 15 Chapter 16 Chapter 17 Chapter 18 Chapter 19 Chapter 20 Chapter 21 Chapter 22 Appendix A Appendix B Appendix C Appendix D Introduction 1 The Classical Multiple Linear Regression Model 7 Least Squares 19 Finite-Sample Properties of the Least Squares Estimator 41 Large-Sample Properties of theLeast Squares and Instrumental Variables Estimators 65 Inference and Prediction 93 Functional Form and Structural Change 116 Specification Analysis and Model Selection Nonlinear Regression Models 162 Nonspherical Disturbances—The Generalized Regression Model 191 Heteroscedasticity 215 Serial Correlation 250 Models for Panel Data 283 Systems of Regression Equations Simultaneous-Equations Models 339378 148
Estimation Frameworks in Econometrics 425 Maximum Likelihood Estimation 468 The Generalized Method of Moments 525 Models with Lagged Variables 558 Time-Series Models 608 Models for Discrete Choice 663 Limited Dependent Variable and Duration Models Matrix Algebra 803 Probability and Distribution Theory 845 Estimation and Inference 877 Large Sample Distribution Theory 896
756
vii Greene-50240
gree50240˙FM
July 10, 2002
12:51
viii
Brief Contents
Appendix E Computation and Optimization Appendix F Data Sets Used in Applications Appendix G Statistical Tables 953 References 959 Author Index Subject Index 000 000
919 946
Greene-50240
gree50240˙FM
July 10, 2002
12:51
CONTENTS
Q
CHAPTER 1 Introduction 1.1 Econometrics 1 1.2 1.3 1.4...
gree50240˙FM
July 10, 2002
12:51
ECONOMETRIC ANALYSIS
Q
i
Greene-50240
gree50240˙FM
July 10, 2002
12:51
ii
Greene-50240
gree50240˙FM
July 10, 2002
12:51
FIFTH EDITION
ECONOMETRIC ANALYSIS
Q
William H. Greene
New York University
Upper Saddle River, New Jersey 07458
iii
Greene-50240
gree50240˙FM
July 10, 200212:51
CIP data to come
Executive Editor: Rod Banister Editor-in-Chief: P. J. Boardman Managing Editor: Gladys Soto Assistant Editor: Marie McHale Editorial Assistant: Lisa Amato Senior Media Project Manager: Victoria Anderson Executive Marketing Manager: Kathleen McLellan Marketing Assistant: Christopher Bath Managing Editor (Production): Cynthia Regan Production Editor: Michael ReynoldsProduction Assistant: Dianne Falcone Permissions Supervisor: Suzanne Grappi Associate Director, Manufacturing: Vinnie Scelta Cover Designer: Kiwi Design Cover Photo: Anthony Bannister/Corbis Composition: Interactive Composition Corporation Printer/Binder: Courier/Westford Cover Printer: Coral Graphics Credits and acknowledgments borrowed from other sources and reproduced, with permission, in thistextbook appear on appropriate page within text (or on page XX). Copyright © 2003, 2000, 1997, 1993 by Pearson Education, Inc., Upper Saddle River, New Jersey, 07458. All rights reserved. Printed in the United States of America. This publication is protected by Copyright and permission should be obtained from the publisher prior to any prohibited reproduction, storage in a retrieval system, ortransmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to: Rights and Permissions Department. Pearson Education LTD. Pearson Education Australia PTY, Limited Pearson Education Singapore, Pte. Ltd Pearson Education North Asia Ltd Pearson Education, Canada, Ltd Pearson Educación de Mexico, S.A. de C.V. PearsonEducation–Japan Pearson Education Malaysia, Pte. Ltd
10 9 8 7 6 5 4 3 2 1 ISBN 0-13-066189-9
iv
Greene-50240
gree50240˙FM
July 10, 2002
12:51
For Margaret and Richard Greene
v
Greene-50240
gree50240˙FM
July 10, 2002
12:51
vi
Greene-50240
gree50240˙FM
July 10, 2002
12:51
BRIEF CONTENTS
Q
Chapter 1 Chapter 2 Chapter 3 Chapter 4 Chapter 5Chapter 6 Chapter 7 Chapter 8 Chapter 9 Chapter 10 Chapter 11 Chapter 12 Chapter 13 Chapter 14 Chapter 15 Chapter 16 Chapter 17 Chapter 18 Chapter 19 Chapter 20 Chapter 21 Chapter 22 Appendix A Appendix B Appendix C Appendix D Introduction 1 The Classical Multiple Linear Regression Model 7 Least Squares 19 Finite-Sample Properties of the Least Squares Estimator 41 Large-Sample Properties of theLeast Squares and Instrumental Variables Estimators 65 Inference and Prediction 93 Functional Form and Structural Change 116 Specification Analysis and Model Selection Nonlinear Regression Models 162 Nonspherical Disturbances—The Generalized Regression Model 191 Heteroscedasticity 215 Serial Correlation 250 Models for Panel Data 283 Systems of Regression Equations Simultaneous-Equations Models 339378 148
Estimation Frameworks in Econometrics 425 Maximum Likelihood Estimation 468 The Generalized Method of Moments 525 Models with Lagged Variables 558 Time-Series Models 608 Models for Discrete Choice 663 Limited Dependent Variable and Duration Models Matrix Algebra 803 Probability and Distribution Theory 845 Estimation and Inference 877 Large Sample Distribution Theory 896
756
vii Greene-50240
gree50240˙FM
July 10, 2002
12:51
viii
Brief Contents
Appendix E Computation and Optimization Appendix F Data Sets Used in Applications Appendix G Statistical Tables 953 References 959 Author Index Subject Index 000 000
919 946
Greene-50240
gree50240˙FM
July 10, 2002
12:51
CONTENTS
Q
CHAPTER 1 Introduction 1.1 Econometrics 1 1.2 1.3 1.4...
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