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Statistical Foundations of Econometric Modelling
Statistical Foundations of Econometric Modelling

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Cited by 223
Aris Spanos, University of Cyprus
Foreword by David Hendry, Nuffield College, Oxford
Publisher: Cambridge University Press
Online publication date: June 2011
Print publication year: 1986
Online ISBN: 9780511599293
DOI: https://doi.org/10.1017/CBO9780511599293
Subjects: Economics, Econometrics and Mathematical Methods
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Frontmatter
pp i-iv
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Contents
pp v-x
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Foreword by David Hendry
pp xi-xiv
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Preface
pp xv-xix
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Acknowledgementspp xx-xx
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List of symbols and abbreviationspp xxi-xxiv
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Part I - Introduction
pp 1-2
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1 - Econometric modelling, a preliminary view
pp 3-22
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2 - Descriptive study of data
pp 23-30
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Part II - Probability theory
pp 31-32
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3 - Probability
pp 33-46
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4 - Random variables and probability distributions
pp 47-77
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5 - Random vectors and their distributionspp 78-95
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6 - Functions of random variables
pp 96-115
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7 - The general notion of expectation
pp 116-129
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8* - Stochastic processes
pp 130-164
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9 - Limit theoremspp 165-182
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10* - Introduction to asymptotic theorypp 183-210
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Part III - Statistical inference
pp 211-212
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11 - The nature of statistical inference
pp 213-230
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12 - Estimation I – properties of estimators
pp 231-251
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13 - Estimation II – methods
pp 252-284
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14 - Hypothesis testing and confidence regions
pp 285-311
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15* - The multivariate normal distributionpp 312-325
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16* - Asymptotic test procedurespp 326-336
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Part IV - The linear regression and related statistical models
pp 337-338
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17 - Statistical models in econometrics
pp 339-356
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18 - The Gauss linear model
pp 357-368
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19 - The linear regression model I – specification, estimation and testing
pp 369-411
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20 - The linear regression model II – departures from the assumptions underlying the statistical GM
pp 412-442
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