計(jì)量經(jīng)濟(jì)分析

前言

《計(jì)量經(jīng)濟(jì)分析》是計(jì)量經(jīng)濟(jì)學(xué)領(lǐng)域經(jīng)典的教材之一。這本教材自1990年問世以來，在全球眾多高校的中高級(jí)計(jì)量經(jīng)濟(jì)學(xué)課程中得到廣泛使用.成為計(jì)量經(jīng)濟(jì)學(xué)領(lǐng)域的研究人員不可多得的案頭參考資料。近年來，隨著計(jì)量經(jīng)濟(jì)學(xué)學(xué)科的飛速發(fā)展，許多最新的前沿研究成果不斷地充實(shí)到教材當(dāng)中。這樣，與其他主流的經(jīng)濟(jì)學(xué)類教材一樣，《計(jì)量經(jīng)濟(jì)分析》從1990年第一版開始至2008年，已經(jīng)更新到第六版。通讀第六版原文，不難發(fā)現(xiàn)其內(nèi)容詳盡，資料充實(shí)，案例豐富，為讀者提供了非常全面的參考素材。而這本經(jīng)典教材在內(nèi)容上的不斷擴(kuò)充，也確實(shí)彰顯了學(xué)科的發(fā)展速度。但是，在選用教材的過程中，廣大教師可能還需要考慮教學(xué)學(xué)時(shí)、教學(xué)內(nèi)容的覆蓋面以及教學(xué)難度等問題。尤其是在學(xué)時(shí)安排比較緊湊的情況下，不可能將全書所有內(nèi)容都進(jìn)行講解。同時(shí)，學(xué)生可能也需要有選擇地閱讀基本且重要的內(nèi)容。有鑒于此，《計(jì)量經(jīng)濟(jì)分析》（第六版）的精編版在完整版的基礎(chǔ)上進(jìn)行了刪節(jié)，刪減的依據(jù)是主要保留計(jì)量經(jīng)濟(jì)學(xué)比較基本與核心的重點(diǎn)內(nèi)容（如最小二乘、廣義回歸以及重要的模型診斷檢驗(yàn)內(nèi)容等），適當(dāng)保留部分重要的前沿內(nèi)容（如面板數(shù)據(jù)回歸的相關(guān)內(nèi)容等）。這樣，如果沒有足夠的時(shí)間閱讀《計(jì)量經(jīng)濟(jì)分析》的全書完整版，就可以選擇精編版，從而也能體會(huì)到這本著作的精髓。這在一定程度上避免了由于教材篇幅過長(zhǎng)而可能給讀者帶來“只見樹木不見森林”的問題。當(dāng)然，在條件和時(shí)間允許的情況下，格林的這本經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)教材的完整版，還是非常值得一讀的。對(duì)于學(xué)生、教師和研究人員來說，選擇完整版作為案頭必備的參考資料，而選擇精編版作為教學(xué)和研讀的工具，可能會(huì)收到更好的效果。

內(nèi)容概要

《計(jì)量經(jīng)濟(jì)分析》是計(jì)量經(jīng)濟(jì)領(lǐng)域“圣經(jīng)”般的教材。它對(duì)計(jì)量經(jīng)濟(jì)學(xué)領(lǐng)域的知識(shí)做了全面概述及整合，并且保持及時(shí)的更新，因而無論對(duì)社會(huì)學(xué)、醫(yī)學(xué)、環(huán)境經(jīng)濟(jì)學(xué)還是政治學(xué)、經(jīng)濟(jì)學(xué)等領(lǐng)域，都能提供獨(dú)特的研究視角和方法。    本書可作為社會(huì)科學(xué)領(lǐng)域本科高年級(jí)或研究生學(xué)習(xí)計(jì)量經(jīng)濟(jì)學(xué)的教材。它有兩個(gè)目標(biāo)：一是將學(xué)生引入應(yīng)用計(jì)量經(jīng)濟(jì)學(xué)的殿堂，包括回歸分析的基本方法，以及在發(fā)現(xiàn)線性模型不充分或不適當(dāng)時(shí)所使用的各種模型；二是向讀者充分介紹理論背景，并讓讀者認(rèn)識(shí)到，這里所學(xué)習(xí)的一些新模型，就是我們所熟悉的某些模型在同一原理下的自然引申。

作者簡(jiǎn)介

威廉·H·格林，1976年畢業(yè)于美國(guó)威斯康星大學(xué)麥迪遜分校（University of Wisconsin，Madison），獲經(jīng)濟(jì)學(xué)博士學(xué)位?，F(xiàn)任美國(guó)紐約大學(xué)（University of New York）斯特恩商學(xué)院（Stern School of Business）經(jīng)濟(jì)學(xué)教授、豐田汽車講席教授。曾任教于康奈爾大學(xué)，并擔(dān)任賓夕

書籍目錄

第一部分  線性回歸模型  第1章  引言  第2章  經(jīng)典多元線性回歸模型  第3章  最小二乘法  第4章  最小二乘估計(jì)的統(tǒng)計(jì)特性第二部分  廣義回歸模型  第5章  廣義回歸模型與異方差  第6章  面板數(shù)據(jù)模型  第7章  回歸方程組第三部分  工具變量與聯(lián)立方程模型  第8章  工具變量估計(jì)  第9章  聯(lián)立方程模型第四部分  估計(jì)方法  第10章  最小距離估計(jì)與廣義矩估計(jì)法  第11章  極大似然估計(jì)第五部分  時(shí)間序列與宏觀計(jì)量經(jīng)濟(jì)學(xué)  第12章  序列相關(guān)  第13章  帶有滯后變量的回歸模型第六部分  橫截面、面板數(shù)據(jù)及微觀計(jì)量經(jīng)濟(jì)學(xué)  第14章  離散選擇模型  第15章  截?cái)唷⒃O(shè)限與樣本選擇附錄  實(shí)際應(yīng)用中的數(shù)據(jù)

章節(jié)摘錄

插圖：We can make a useful distinction between theoretical and applied econometrics. The-orists develop new techniques for estimation and hypothesis testing and analyze theconsequences of applying particular methods when the assumptions that justify thosemethods are not met. Applied econometricians are the users of these techniques andthe analysts of data （"real world" and simulated）. Of course, the distinction is farfrom clean; practitioners routinely develop new analytical tools for the purposes ofthe study that they are involved in. This book contains a large amount of economet-ric theory, but it is directed toward applied econometrics. I have attempted to surveytechniques, admittedly some quite elaborate and intricate, that have seen wide use "inthe field."Another useful distinction can be made between microeconometrics and macro-econometrics. The former is characterized largely by its analysis of cross section andpanel data and by its focus on individual consumers, firms, and micro-level decisionmakers. Macroeconometrics is generally involved in the analysis of time-series data,usually of broad aggregates such as price levels, the money supply, exchange rates,output, investment, and so on. Once again, the boundaries are not sharp. The very largefield of financial econometrics is concerned with long time-series data and occasionallyvast panel data sets, but with a very focused orientation toward models of individualbehavior. The analysis of market returns and exchange rate behavior is neither macro-nor microeconometric, or perhaps it is some of both. Another application that we willexamine in this text concerns spending patterns of municipalities, which, again, restssomewhere between the two fields.Applied econometric methods will be used for estimation of important quantities,analysis of economic outcomes, markets or individual behavior, testing theories, and forforecasting. The last of these is an art and science in itself, and （fortunately） the subjectof a vast library of sources. Although we will briefly discuss some aspects of forecasting,our interest in this text will be on estimation and analysis of models. The presentation,where there is a distinction to be made, will contain a blend of microeconometric andmacroeconometric techniques and appications. The first 11 chapters of the book arelargely devoted to results that form the platform of both areas. Chapters 12 to 13 focuson time series modeling while Chapters 14 to 15 are devoted to methods more suitedto cross sections and panels, and methods used more frequently in microeconometrics.We will not be spending any time on financial econometrics. For those with an interestin this field, I would recommend the celebrated work by Campbell, Lo, and Mackinlay（1997） and, for a more time-series-oriented approach, Tsay （2005）. It is also necessaryto distinguish between time-series analysis （which is not our focus） and methods thatprimarily use time-series data. The former is, like forecasting, a growth industry servedby its own literature in many fields. While we will employ some of the techniques oftime-series analysis, we will spend relatively little time developing first principles.The techniques used in econometrics have been employed in a widening vari-ety of fields, including political methodology, sociology [see, e.g., Long （1997） andDeMaris （2004）], health economics, medical research （how do we handle attrition frommedical treatment studies？） environmental economics, transportation engineering, andnumerous others. Practitioners in these fields and many more are all heavy users of thetechniques described in this text.

編輯推薦

　　《計(jì)量經(jīng)濟(jì)分析（第6版）》對(duì)計(jì)量經(jīng)濟(jì)學(xué)領(lǐng)域的知識(shí)做了全面概述及整合，并且保持及時(shí)的更新，因而無論對(duì)社會(huì)學(xué)、醫(yī)學(xué)、環(huán)境經(jīng)濟(jì)學(xué)還是政治學(xué)、經(jīng)濟(jì)學(xué)等領(lǐng)域，都能提供獨(dú)特的研究視角和方法。

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