This concise and intuitive book presents a unified approach of modern linear and nonlinear econometrics, integrating theory and practice. Every major topic has a number of examples, exercises or case studies, many involving the use of actual data that are typical for current empirical work and made available on the internet. This learning-by-doing method prepares readers to design, develop and successfully finish their own research and/or solve real-world problems.

Presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way Every major topic has a number of examples, exercises or case studies The learning by doing method is intended to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve real world problems

Autorentext
PLASMANS, Joseph, Emanuel, Julien Date of birth: January 12, 1944 Studies 'Licentiaat in de Handels- en Financiële Wetenschappen' (Bachelor Degree in Commercial and Financial Sciences; 1966 - UFSIA, University of Antwerp, "distinction") 'Drs. in de Algemene en de Bedrijfseconometrie' (Drs. in General and Business Econometrics; 1968 - Catholic University of Tilburg, "cum laude") 'Dr. in de Economische Wetenschappen' (Ph.D. in Economics, 1975 - Catholic University of Tilburg, "cum laude") with the Ph.D. Thesis: Production Investment Behaviour, with an Application to six EEC-Countries, Tilburg University Press, 333 pp. Promotors: Prof. Dr. J.J.J. Dalmulder (Catholic University of Tilburg) and Prof. Dr. R.L. Graves (University of Chicago). Academic Functions 1968-1975: Assistant UFSIA for Statistics (2nd and 3rd university years of the 2nd Cycle in Applied Economics) and for Mathematical Statistics (3rd and 4th university years of the 2nd Cycle in Business Econometrics) 1969-1975: Assistant Professor in the Economic Faculty of the Catholic University of Tilburg (Department of Econometrics) 1975-1986: First Assistant Professor at the Catholic University of Tilburg in 'General Econometrics'; from 01/01/1985 ad O,2 f.t.e. 1975-1984: Associate Professor UFSIA (part-time) 1985-1986: Associate Professor UFSIA (full-time) 1986-1991: Professor UFSIA 1986- : Part-time 'universitair hoofddocent' (equivalent to extra-ordinary professor) at Tilburg University (Katholieke Universiteit Brabant - KUB) 1992- : Full (ordinary) Professor UFSIA in (Macro-) Econometrics (incl. Financial Econometrics

Inhalt
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.