Statistics and Econometric Models: Testing, Confidence Regions, Model Selection, and Asymptotic Theory

This is the second volume of a two-part work on statistical inference for economics. It picks up the inferential tools that sit under empirical economic research, after a first volume that dealt with estimation and prediction.

The book covers hypothesis testing, including Wald, likelihood ratio and Lagrange multiplier tests. It also shows how to build interval and region estimates for parameters in both linear and nonlinear settings. It also deals with information criteria such as AIC and BIC for choosing between econometric models, and with the asymptotic properties of estimators and test statistics. Real-world economic examples illustrate the results.

Graduate students and working researchers in economics, statistics and data science are the intended readers. It is published by Cambridge University Press in hardcover, ISBN-13 9780521477451.