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econometrics_bacar.pdf

econometrics_bacar.pdf

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Published by: anhnguyet2910 on Dec 31, 2011
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01/09/2013

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Econometrics
Michael CreelDepartment of Economics and Economic History Universitat Autònoma de Barcelona version 0.98, July 2011
 
Contents
1.1 Prerequisites. . . . . . . . . . . . . . . . . . . . . . . 201.2 Contents. . . . . . . . . . . . . . . . . . . . . . . . . . 221.3 Licenses. . . . . . . . . . . . . . . . . . . . . . . . . . 261.4 Obtaining the materials. . . . . . . . . . . . . . . . . 281.5 An easy way to use L Y  X and Octave today . . . . . . . . 28
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3.1 The Linear Model. . . . . . . . . . . . . . . . . . . . . 403.2 Estimation by least squares. . . . . . . . . . . . . . . 433.3 Geometric interpretation of least squares estimation. 483.4 Influential observations and outliers. . . . . . . . . . 553.5 Goodness of fit. . . . . . . . . . . . . . . . . . . . . . 593.6 The classical linear regression model. . . . . . . . . . 643.7 Small sample statistical properties of the least squaresestimator. . . . . . . . . . . . . . . . . . . . . . . . . 673.8 Example: The Nerlove model. . . . . . . . . . . . . . 803.9 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . 90
4.1 Consistenc. . . . . . . . . . . . . . . . . . . . . . . . 944.2 Asymptotic normality . . . . . . . . . . . . . . . . . . . 974.3 Asymptotic efficiency . . . . . . . . . . . . . . . . . . . 99