Econometrics. Theory and applications. (English) Zbl 0756.62043

Ghosh, Sukesh K.

Englewood Cliffs, NJ: Prentice Hall. xix, 602 p. (1991).

The book under review is written for a one-year course in econometrics at the senior undergraduate and the junior graduate levels. It is the author’s intention to bridge the gaps between theoretical and applied econometrics. For this reason he puts much emphasis on economic applications and two out of thirteen chapters are solely devoted to published studies on applied econometrics.
After the introductory chapter, the author presents the simple linear model in two variables and a few extensions of this model. Linear algebra and statistics fill chapters three and four. The following chapters five to seven contain the general linear model, the US method, violations of the basic assumptions, and some remarks on qualitative and limited dependent variables.
Two more advanced topics on single equation models are dealt with in chapters eight and ten. In the first, the author introduces stochastic regression and lag models and in the last, testing in econometric, pooled cross section and time series models and variable coefficient models are the main subject.
Simultaneous equation systems find their place in chapter eleven. The final part of the book is concerned with some special problems such as disequilibrium models, model selection procedures, specification testing, and unit root models.
All in all, the book is a fair compromise between theory and applications, and the author serves thanks for his successful attempt to combine these two.

Reviewer: H.S.Buscher (Berlin)

MSC:

62P20	Applications of statistics to economics
62-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics

Keywords:

least squares; simultaneous equations systems; disequilibrium models; rational expectations; applied econometrics; linear model; US method; limited dependent variables; single equation models; stochastic regression; lag models; time series models; variable coefficient models; model selection procedures; specification testing; unit root models