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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
Moment Estimation
2.1 Introduction
2.2 Population and Sample Mean
2.3 Sample Mean is Unbiased
2.4 Variance
2.5 Convergence in Probability
2.6 Weak Law of Large Numbers
2.7 Vector-Valued Moments
2.8 Convergence in Distribution
2.9 Functions of Moments
2.10 Delta Method
2.11 Stochastic Order Symbols
2.12 Uniform Stochastic Bounds*
2.13 Semiparametric E ciency
2.14 Expectation*
2.15 Technical Proofs*
Conditional Expectation and Projection
3.1 Introduction
3.2 The Distribution of Wages
3.3 Conditional Expectation
3.4 Conditional Expectation Function
3.5 Continuous Variables
3.6 Law of Iterated Expectations
3.7 Monotonicity of Conditioning
3.8 CEF Error
3.9 Best Predictor
3.10 Conditional Variance
3.15 Linear CEF with Dummy Variables
3.16 Best Linear Predictor
3.20 Coe cient Decomposition
3.21 Omitted Variable Bias
3.22 Best Linear Approximation
3.23 Normal Regression
3.24 Regression to the Mean
3.25 Reverse Regression
3.26 Limitations of the Best Linear Predictor
3.27 Random Coe cient Model
3.28 Causal E ects
3.29 Existence and Uniqueness of the Conditional Expectation*
3.30 Technical Proofs*
Exercises
The Algebra of Least Squares
4.1 Introduction
4.2 Least Squares Estimator
4.3 Solving for Least Squares
4.4 Illustration
4.5 Least Squares Residuals
4.6 Model in Matrix Notation
4.7 Projection Matrix
4.8 Orthogonal Projection
4.9 Regression Components
4.10 Residual Regression
4.11 Prediction Errors
4.12 Inﬂuential Observations
4.13 Measures of Fit
4.14 Normal Regression Model
Least Squares Regression
5.1 Introduction
5.2 Mean of Least-Squares Estimator
5.3 Variance of Least Squares Estimator
5.4 Gauss-Markov Theorem
5.5 Residuals
5.6 Estimation of Error Variance
5.7 Covariance Matrix Estimation Under Homoskedasticity
5.8 Covariance Matrix Estimation Under Heteroskedasticity
5.9 Standard Errors
5.10 Multicollinearity
5.11 Normal Regression Model
Asymptotic Theory for Least Squares
6.1 Introduction
6.2 Consistency of Least-Squares Estimation
6.3 Consistency of Sample Variance Estimators
6.4 Asymptotic Normality
6.5 Joint Distribution
6.6 Uniformly Consistent Residuals*
6.7 Asymptotic Leverage*
6.8 Consistent Covariance Matrix Estimation
6.9 Functions of Parameters
6.10 Asymptotic Standard Errors
6.11 t statistic
6.12 Conﬁdence Intervals
6.13 Regression Intervals
6.15 Conﬁdence Regions
6.16 Semiparametric E ciency in the Projection Model
6.17 Semiparametric E ciency in the Homoskedastic Regression Model*
6.18 Technical Proofs*
Restricted Estimation
7.1 Introduction
7.2 Constrained Least Squares
7.3 Exclusion Restriction
7.4 Minimum Distance
7.5 Computation
7.6 Asymptotic Distribution
7.7 E cient Minimum Distance Estimator
7.8 Exclusion Restriction Revisited
7.9 Variance and Standard Error Estimation
7.10 Nonlinear Constraints
7.11 Technical Proofs*
Testing
8.1 t tests
8.2 t-ratios
8.3 Wald Tests
8.4 Minimum Distance Tests
8.5 F Tests
8.6 Normal Regression Model
8.7 Problems with Tests of NonLinear Hypotheses
8.8 Monte Carlo Simulation
8.9 Estimating a Wage Equation
9.1 Generalized Least Squares
9.2 Testing for Heteroskedasticity
9.3 Forecast Intervals
9.4 NonLinear Least Squares
9.5 Least Absolute Deviations
9.6 Quantile Regression
9.7 Testing for Omitted NonLinearity
9.8 Model Selection
10.1 Deﬁnition of the Bootstrap
10.2 The Empirical Distribution Function
10.3 Nonparametric Bootstrap
10.4 Bootstrap Estimation of Bias and Variance
10.5 Percentile Intervals
10.6 Percentile-t Equal-Tailed Interval
10.7 Symmetric Percentile-t Intervals
10.8 Asymptotic Expansions
10.9 One-Sided Tests
10.10 Symmetric Two-Sided Tests
10.11 Percentile Conﬁdence Intervals
10.12 Bootstrap Methods for Regression Models
Generalized Method of Moments
11.1 Overidentiﬁed Linear Model
11.2 GMM Estimator
11.3 Distribution of GMM Estimator
11.4 Estimation of the E cient Weight Matrix
11.5 GMM: The General Case
11.6 Over-Identiﬁcation Test
11.7 Hypothesis Testing: The Distance Statistic
11.8 Conditional Moment Restrictions
12.1 Non-Parametric Likelihood
12.2 Asymptotic Distribution of EL Estimator
12.3 Overidentifying Restrictions
12.4 Testing
12.5 Numerical Computation
Endogeneity
13.1 Instrumental Variables
13.2 Reduced Form
13.3 Identiﬁcation
13.4 Estimation
13.5 Special Cases: IV and 2SLS
13.7 Identiﬁcation Failure
Univariate Time Series
14.1 Stationarity and Ergodicity
14.2 Autoregressions
14.3 Stationarity of AR(1) Process
14.4 Lag Operator
14.5 Stationarity of AR(k)
14.6 Estimation
14.7 Asymptotic Distribution
14.8 Bootstrap for Autoregressions
14.9 Trend Stationarity
14.10 Testing for Omitted Serial Correlation
14.11 Model Selection
14.12 Autoregressive Unit Roots
Multivariate Time Series
15.1 Vector Autoregressions (VARs)
15.2 Estimation
15.3 Restricted VARs
15.4 Single Equation from a VAR
15.5 Testing for Omitted Serial Correlation
15.6 Selection of Lag Length in an VAR
15.7 Granger Causality
15.8 Cointegration
15.9 Cointegrated VARs
Limited Dependent Variables
16.1 Binary Choice
16.2 Count Data
16.3 Censored Data
16.4 Sample Selection
Panel Data
17.1 Individual-E ects Model
17.2 Fixed E ects
17.3 Dynamic Panel Regression
Nonparametrics
18.1 Kernel Density Estimation
18.2 Asymptotic MSE for Kernel Estimates
Matrix Algebra
A.1 Notation
A.3 Matrix Multiplication
A.4 Trace
A.5 Rank and Inverse
A.6 Determinant
A.7 Eigenvalues
A.8 Positive Deﬁniteness
A.9 Matrix Calculus
A.10 Kronecker Products and the Vec Operator
A.11 Vector and Matrix Norms and Inequalities
B.1 Foundations
B.2 Random Variables
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
B.10 Inequalities
B.11 Maximum Likelihood
C.1 Grid Search
C.3 Derivative-Free Methods
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Eco No Metrics

# Eco No Metrics

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10/01/2012

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