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Table Of Contents

Introduction
1.1 What is Econometrics?
1.2 The Probability Approach to Econometrics
1.3 Econometric Terms and Notation
1.4 Observational Data
1.5 Standard Data Structures
1.6 Sources for Economic Data
1.7 Econometric Software
1.8 Reading the Manuscript
Regression and Projection
2.1 Introduction
2.2 Notation
2.3 Conditional Mean
2.4 Regression Error
2.5 Best Predictor
2.6 Conditional Variance
2.7 Homoskedasticity and Heteroskedasticity
2.8 Linear Regression
Linear Regression
2.9 Best Linear Predictor
2.10 Regression Coe¢cients
2.11 Best Linear Approximation
2.12 Normal Regression
2.13 Regression to the Mean
2.14 Reverse Regression
2.15 Limitations of the Best Linear Predictor
2.16 Identi…cation of the Conditional Mean
Theorem 2.16.2 Identi…cation of the Conditional Mean
Exercises
The Algebra of Least Squares
3.1 Introduction
3.2 Least Squares Estimator
3.3 Solving for Least Squares
3.4 Least Squares Residuals
3.5 Model in Matrix Notation
3.7 Residual Regression
3.8 Prediction Errors
3.9 In‡uential Observations
3.10 Measures of Fit
3.11 Normal Regression Model
Least Squares Regression
4.1 Introduction
4.2 Sampling Distribution
4.3 Mean of Least-Squares Estimator
4.4 Variance of Least Squares Estimator
4.5 Gauss-Markov Theorem
4.6 Residuals
4.7 Estimation of Error Variance
4.8 Covariance Matrix Estimation Under Homoskedasticity
4.9 Covariance Matrix Estimation Under Heteroskedasticity
4.10 Standard Errors
4.11 Multicollinearity
4.12 Omitted Variable Bias
4.13 Normal Regression Model
Asymptotic Theory
5.1 Introduction
5.2 Weak Law of Large Numbers
5.3 Consistency of Least-Squares Estimation
5.4 Asymptotic Normality
5.5 Consistency of Sample Variance Estimators
5.6 Consistent Covariance Matrix Estimation
5.7 Functions of Parameters
5.8 t statistic
5.9 Con…dence Intervals
5.10 Semiparametric E¢ciency
5.11 Semiparametric E¢ciency in the Projection Model
5.12 Semiparametric E¢ciency in the Homoskedastic Regression Model
Testing
6.1 t tests
6.2 t-ratios
6.3 Wald Tests
6.4 F Tests
6.5 Normal Regression Model
6.6 Problems with Tests of NonLinear Hypotheses
6.7 Monte Carlo Simulation
6.8 Estimating a Wage Equation
Additional Regression Topics
7.1 Generalized Least Squares
7.2 Testing for Heteroskedasticity
7.3 Forecast Intervals
7.5 Least Absolute Deviations
7.6 Quantile Regression
7.7 Testing for Omitted NonLinearity
7.8 Irrelevant Variables
7.9 Model Selection
The Bootstrap
8.1 De…nition of the Bootstrap
8.2 The Empirical Distribution Function
8.3 Nonparametric Bootstrap
8.4 Bootstrap Estimation of Bias and Variance
8.5 Percentile Intervals
8.6 Percentile-t Equal-Tailed Interval
8.7 Symmetric Percentile-t Intervals
8.8 Asymptotic Expansions
8.9 One-Sided Tests
8.10 Symmetric Two-Sided Tests
8.11 Percentile Con…dence Intervals
8.12 Bootstrap Methods for Regression Models
Generalized Method of Moments
9.1 Overidenti…ed Linear Model
9.2 GMM Estimator
9.3 Distribution of GMM Estimator
9.4 Estimation of the E¢cient Weight Matrix
9.5 GMM: The General Case
9.6 Over-Identi…cation Test
9.7 Hypothesis Testing: The Distance Statistic
9.8 Conditional Moment Restrictions
9.9 Bootstrap GMM Inference
Empirical Likelihood
10.1 Non-Parametric Likelihood
10.2 Asymptotic Distribution of EL Estimator
10.3 Overidentifying Restrictions
10.4 Testing
10.5 Numerical Computation
Endogeneity
11.1 Instrumental Variables
11.2 Reduced Form
11.3 Identi…cation
11.4 Estimation
11.5 Special Cases: IV and 2SLS
11.6 Bekker Asymptotics
11.7 Identi…cation Failure
Univariate Time Series
12.1 Stationarity and Ergodicity
12.2 Autoregressions
12.3 Stationarity of AR(1) Process
12.4 Lag Operator
12.5 Stationarity of AR(k)
12.6 Estimation
12.7 Asymptotic Distribution
12.8 Bootstrap for Autoregressions
12.9 Trend Stationarity
12.10 Testing for Omitted Serial Correlation
12.11 Model Selection
12.12 Autoregressive Unit Roots
Multivariate Time Series
13.1 Vector Autoregressions (VARs)
13.2 Estimation
13.3 Restricted VARs
13.4 Single Equation from a VAR
13.5 Testing for Omitted Serial Correlation
13.6 Selection of Lag Length in an VAR
13.7 Granger Causality
13.8 Cointegration
13.9 Cointegrated VARs
Limited Dependent Variables
14.1 Binary Choice
14.2 Count Data
14.3 Censored Data
14.4 Sample Selection
Panel Data
15.1 Individual-E¤ects Model
15.2 Fixed E¤ects
16.2 Asymptotic MSE for Kernel Estimates
Matrix Algebra
A.1 Notation
A.2 Matrix Addition
A.3 Matrix Multiplication
A.4 Trace
A.5 Rank and Inverse
A.6 Determinant
A.7 Eigenvalues
A.8 Positive De…niteness
A.9 Matrix Calculus
A.10 Kronecker Products and the Vec Operator
A.11 Vector and Matrix Norms
B.3 Expectation
B.4 Gamma Function
B.5 Common Distributions
B.6 Multivariate Random Variables
B.7 Conditional Distributions and Expectation
B.8 Transformations
B.9 Normal and Related Distributions
C.1 Inequalities
C.2 Convergence in Distribution
C.3 Asymptotic Transformations
Maximum Likelihood
Numerical Optimization
E.1 Grid Search
E.2 Gradient Methods
E.3 Derivative-Free Methods
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Published by: Weijie Chen on Jan 02, 2011
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