Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword or section
Like this
1Activity

Table Of Contents

Introduction
1.1 Economic Data
1.2 Observational Data
1.3 Random Sample
1.4 Economic Data
Matrix Algebra
2.1 Terminology
2.2 Matrix Multiplication
2.3 Trace
2.4 Inverse
2.5 Eigenvalues
2.6 Rank and Positive Definiteness
2.7 Matrix Calculus
2.8 Determinant
2.9 Kronecker Products and the Vec Operator
Regression and Projection
3.1 Conditional Mean
3.2 Regression Equation
3.3 Conditional Variance
3.4 Linear Regression
3.5 Best Linear Predictor
3.6 Exercises
Least Squares Estimation
4.1 Estimation
4.2 Least Squares
4.3 Normal Regression Model
4.4 Model in Matrix Notation
4.5 Projection Matrices
4.6 Residual Regression
4.7 Bias and Variance
4.8 Gauss-Markov Theorem
4.9 Semiparametric Efficiency
4.10 Omitted Variables
4.11 Multicollinearity
4.12 Influential Observations
4.13 Exercises
Asymptotic Theory
5.1 Inequalities
5.2 Weak Law of Large Numbers
5.3 Convergence in Distribution
5.4 Asymptotic Transformations
Inference
6.1 Sampling Distribution
6.2 Consistency
6.3 Asymptotic Normality
6.4 Covariance Matrix Estimation
6.5 Consistency of the White Covariance Matrix Estimate
6.6 Alternative Covariance Matrix Estimators
6.7 Functions of Parameters
6.8 t tests
6.9 Confidence Intervals
6.10 Wald Tests
6.11 F Tests
6.12 Normal Regression Model
6.13 Problems with Tests of NonLinear Hypotheses
6.14 Monte Carlo Simulation
6.15 Estimating a Wage Equation
6.16 Exercises
Additional Regression Topics
7.1 Generalized Least Squares
7.2 Testing for Heteroskedasticity
7.3 Forecast Intervals
7.4 NonLinear Least Squares
7.5 Least Absolute Deviations
7.6 Quantile Regression
7.7 Testing for Omitted NonLinearity
7.8 Irrelevant Variables
7.9 Model Selection
7.10 Exercises
The Bootstrap
8.1 Definition 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 Confidence Intervals
8.12 Bootstrap Methods for Regression Models
8.13 Exercises
Generalized Method of Moments
9.1 Overidentified Linear Model
9.2 GMM Estimator
9.3 Distribution of GMM Estimator
9.4 Estimation of the Efficient Weight Matrix
9.5 GMM: The General Case
9.6 Over-Identification Test
9.7 Hypothesis Testing: The Distance Statistic
9.8 Conditional Moment Restrictions
9.9 Bootstrap GMM Inference
9.10 Exercises
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 Identification
11.4 Estimation
11.5 Special Cases: IV and 2SLS
11.6 Bekker Asymptotics
11.7 Identification Failure
11.8 Exercises
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
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-Effects Model
15.2 Fixed Effects
15.3 Dynamic Panel Regression
Nonparametrics
16.1 Kernel Density Estimation
16.2 Asymptotic MSE for Kernel Estimates
Probability
A.1 Foundations
A.2 Random Variables
A.3 Expectation
A.4 Common Distributions
A.5 Multivariate Random Variables
A.6 Conditional Distributions and Expectation
A.7 Transformations
A.8 Normal and Related Distributions
A.9 Maximum Likelihood
Numerical Optimization
B.1 Grid Search
B.2 Gradient Methods
B.3 Derivative-Free Methods
0 of .
Results for:
No results containing your search query
P. 1
Hansen(2006, Econometrics)

Hansen(2006, Econometrics)

Ratings: (0)|Views: 70 |Likes:
Published by moimemevollbio

More info:

Published by: moimemevollbio on Jul 11, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

07/11/2012

pdf

text

original

You're Reading a Free Preview
Pages 4 to 149 are not shown in this preview.
You're Reading a Free Preview
Pages 151 to 196 are not shown in this preview.

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->