Modern linear and nonlinear econometrics. (Q2497075)

This textbook presents a unified approach of linear and nonlinear econometrics to the application of recent research topics in applied economics. Four issues are emphasized by the author: linear and nonlinear econometric estimation and testing, linear and nonlinear time series analysis, models with categorical and limited dependent variables, and fourth, modelling of linear and nonlinear panel data. The authors starts with a presentation of econometric inference in linear and nonlinear models including well known estimation methods such as the Marquardt method, Quasi-Gauss-method, and so on. A chapter on the Generalized Method of Moments as well as on nested and non-nested model tests concludes the first part. Time series analysis follows as part two, dealing with the traditional Box-Jenkins approach, cointegration, varying parameter models, and issues on multivariate time series such as VAR-models, SVAR-models, and VARMA-models. Among the broad range of topics with categorical and limited dependent variables, the author discusses discrete choice models, limited responses, and the analysis of duration and count data. Finally, the part on panel data distinguishes between linear and nonlinear panel models and within each group between fixed effects and random effects models. The book is written for final year bachelor and master students, but it may also be useful for practitioners in business and public institutions if basic knowledge in statistics, mathematics, and econometrics is available. At the end of each chapter the author added exercises to gain experience and intuition using the tools presented in the book when applied to real data sets. Besides of these exercises the book contains completely worked out empirical illustrations covering fields such as finance (CAPM), international economics, innovation economics, labor economics, business cycle analysis, etc. The corresponding data sets can be downloaded from the Internet. Given that most econometric textbooks deal either with linear or with nonlinear econometrics, this book bridges the gap by treating each topic with equal importance and by using a unified notation, to present the different approaches. This allows to detect similarities as well as differences between the various approaches and improves the understanding of linear and nonlinear econometrics.