格林--计量经济分析（英文第5版）

Greene-50240gree50240˙FMJuly10,200212:51FIFTHEDITIONECONOMETRICANALYSISQWilliamH.GreeneNewYorkUniversityUpperSaddleRiver,NewJersey07458iiiGreene-50240gree50240˙FMJuly10,200212:51CIPdatatocomeExecutiveEditor:RodBanisterEditor-in-Chief:P.J.BoardmanManagingEditor:GladysSotoAssistantEditor:MarieMcHaleEditorialAssistant:LisaAmatoSeniorMediaProjectManager:VictoriaAndersonExecutiveMarketingManager:KathleenMcLellanMarketingAssistant:ChristopherBathManagingEditor(Production):CynthiaReganProductionEditor:MichaelReynoldsProductionAssistant:DianneFalconePermissionsSupervisor:SuzanneGrappiAssociateDirector,Manufacturing:VinnieSceltaCoverDesigner:KiwiDesignCoverPhoto:AnthonyBannister/CorbisComposition:InteractiveCompositionCorporationPrinter/Binder:Courier/WestfordCoverPrinter:CoralGraphicsCreditsandacknowledgmentsborrowedfromothersourcesandreproduced,withpermission,inthistextbookappearonappropriatepagewithintext(oronpageXX).Copyright©2003,2000,1997,1993byPearsonEducation,Inc.,UpperSaddleRiver,NewJersey,07458.Allrightsreserved.PrintedintheUnitedStatesofAmerica.ThispublicationisprotectedbyCopyrightandpermissionshouldbeobtainedfromthepublisherpriortoanyprohibitedreproduction,storageinaretrievalsystem,ortransmissioninanyformorbyanymeans,electronic,mechanical,photocopying,recording,orlikewise.Forinformationregardingpermission(s),writeto:RightsandPermissionsDepartment.PearsonEducationLTD.PearsonEducationAustraliaPTY,LimitedPearsonEducationSingapore,Pte.LtdPearsonEducationNorthAsiaLtdPearsonEducation,Canada,LtdPearsonEducacióndeMexico,S.A.deC.V.PearsonEducation–JapanPearsonEducationMalaysia,Pte.Ltd10987654321ISBN0-13-066189-9ivGreene-50240gree50240˙FMJuly10,200212:51BRIEFCONTENTSQChapter1Introduction1Chapter2TheClassicalMultipleLinearRegressionModel7Chapter3LeastSquares19Chapter4Finite-SamplePropertiesoftheLeastSquaresEstimator41Chapter5Large-SamplePropertiesoftheLeastSquaresandInstrumentalVariablesEstimators65Chapter6InferenceandPrediction93Chapter7FunctionalFormandStructuralChange116Chapter8SpecificationAnalysisandModelSelection148Chapter9NonlinearRegressionModels162Chapter10NonsphericalDisturbances—TheGeneralizedRegressionModel191Chapter11Heteroscedasticity215Chapter12SerialCorrelation250Chapter13ModelsforPanelData283Chapter14SystemsofRegressionEquations339Chapter15Simultaneous-EquationsModels378Chapter16EstimationFrameworksinEconometrics425Chapter17MaximumLikelihoodEstimation468Chapter18TheGeneralizedMethodofMoments525Chapter19ModelswithLaggedVariables558Chapter20Time-SeriesModels608Chapter21ModelsforDiscreteChoice663Chapter22LimitedDependentVariableandDurationModels756AppendixAMatrixAlgebra803AppendixBProbabilityandDistributionTheory845AppendixCEstimationandInference877AppendixDLargeSampleDistributionTheory896viiGreene-50240gree50240˙FMJuly10,200212:51viiiBriefContentsAppendixEComputationandOptimization919AppendixFDataSetsUsedinApplications946AppendixGStatisticalTables953References959AuthorIndex000SubjectIndex000Greene-50240gree50240˙FMJuly10,200212:51CONTENTSQCHAPTER1Introduction11.1Econometrics11.2EconometricModeling11.3DataandMethodology41.4PlanoftheBook5CHAPTER2TheClassicalMultipleLinearRegressionModel72.1Introduction72.2TheLinearRegressionModel72.3AssumptionsoftheClassicalLinearRegressionModel102.3.1LinearityoftheRegressionModel112.3.2FullRank132.3.3Regression142.3.4SphericalDisturbances152.3.5DataGeneratingProcessfortheRegressors162.3.6Normality172.4SummaryandConclusions18CHAPTER3LeastSquares193.1Introduction193.2LeastSquaresRegression193.2.1TheLeastSquaresCoefficientVector203.2.2Application:AnInvestmentEquation213.2.3AlgebraicAspectsofTheLeastSquaresSolution243.2.4Projection243.3PartitionedRegressionandPartialRegression263.4PartialRegressionandPartialCorrelationCoefficients283.5GoodnessofFitandtheAnalysisofVariance313.5.1TheAdjustedR-SquaredandaMeasureofFit343.5.2R-SquaredandtheConstantTermintheModel363.5.3ComparingModels373.6SummaryandConclusions38ixGreene-50240gree50240˙FMJuly10,200212:51xContentsCHAPTER4Finite-SamplePropertiesoftheLeastSquaresEstimator414.1Introduction414.2MotivatingLeastSquares424.2.1ThePopulationOrthogonalityConditions424.2.2MinimumMeanSquaredErrorPredictor434.2.3MinimumVarianceLinearUnbiasedEstimation444.3UnbiasedEstimation444.4TheVarianceoftheLeastSquaresEstimatorandtheGaussMarkovTheorem454.5TheImplicationsofStochasticRegressors474.6EstimatingtheVarianceoftheLeastSquaresEstimator484.7TheNormalityAssumptionandBasicStatisticalInference504.7.1TestingaHypothesisAboutaCoefficient504.7.2ConfidenceIntervalsforParameters524.7.3ConfidenceIntervalforaLinearCombinationofCoefficients:TheOaxacaDecomposition534.7.4TestingtheSignificanceoftheRegression544.7.5MarginalDistributionsoftheTestStatistics554.8Finite-SamplePropertiesofLeastSquares554.9DataProblems564.9.1Multicollinearity564.9.2MissingObservations594.9.3RegressionDiagnosticsandInfluentialDataPoints604.10SummaryandConclusions61CHAPTER5Large-SamplePropertiesoftheLeastSquaresandInstrumentalVariablesEstimators655.1Introduction655.2AsymptoticPropertiesoftheLeast