Chapter Econometrics, 5th Introductory Econometrics for Finance, 3rd Introduction to Econometrics, 3rd

Badi H. Baltagi (Springer) Chris Brooks (Cambridge) J.H. Stock, M.W. Watson (Addison-Wesley)
1 What is Econometrics Introduction Economic Questions and Data
2 Basic Statistical Concepts Mathematical and statistical foundations Review of Probability
3 Simple Linear Regression A brief overview of the classical linear Review of Statistics
regression model
4 Multiple Regression Analysis Further development and analysis of the Linear Regression with One Regressor
classical linear regression model
5 Violations of the Classical Classical linear regression model Regression with a Single Regressor:
Assumptions assumptions and diagnostic tests Hypothesis Tests and Confidence Intervals
6 Distributed Lags and Dynamic Univariate time series modelling and Linear Regression with Multiple Regressors
Models forecasting
7 The General Linear Model: The Multivariate models Hypothesis Tests and Confidence Intervals in
Basics Multiple Regression
8 Regression Diagnostics and Modelling long-run relationships in finance Nonlinear Regression Functions
Specification Tests
9 Generalized Least Squares Modelling volatility and correlation Assessing Studies Based on Multiple
Regression
10 Seemingly Unrelated Regressions Switching models Regression with Panel Data
11 Simultaneous Equations Model Panel data Regression with a Binary Dependent
Variable
12 Pooling Time-Series of Cross- Limited dependent variable models Instrumental Variables Regression
Section Data
13 Limited Dependent Variables Simulation methods Experiments and Quasi-Experiments
14 Time-Series Analysis Conducting empirical research or doing a Introduction to Time Series Regression and
project or dissertation in finance Forecasting
15 Estimation of Dynamic Causal Effects
16 Additional Topics in Time Series Regression
17 The Theory of Linear Regression with One
Regressor
18 The Theory of Multiple Regression
19
20
 INDEX

Preface

Introduction

PART 1 FUNDAMENTALS OF REGRESSION ANALYSIS

1. Simple Regression Model

2. Multiple Linear Regression

PART 2 REGRESSION ANALYSIS WITH TIME SERIES DATA

1. Introduction to Time Series Analysis

PART 3 ADVANCED TOPICS

APPENDICES

Appendix A Mathematics for Econometrics

Appendix B Fundamentals of Probability

Appendix C Fundamentals of Statistics

Appendix D Matrix Algebra Primer

Appendix E