Modern Linear and Nonlinear Econometrics (Hardcover)

Acknowledgements.- Part I. Linear and Nonlinear Econometric Inference: Estimation and Testing. Estimation in Linear and Nonlinear Models. Generalized Methods of Moments. Testing in Linear and Nonlinear Models.- Part II. Time Series Analysis. A Typology of Dynamic Models. Univariate ARIMA Models. Cointegration and Transfer Functions. Multivariate Time Series. Varying Parameters Models.- Part III. Categorical and Limited Dependent Variables. Discrete Choice Models. Limited responses, duration and count data.- Part IV. Panel Data Analysis. Linear Panel Data Models. Nonlinear Panel Data Models.- A. Nonlinear Optimization and Estimation.- B. Mathematical Formulation of GMM.- C. Stability Criteria for AR(p) Models.- D. MLE of the RSM with Endogenous Prices.- E. Volatility Modeling.