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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
4.6 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
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
11.5 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
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-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.3 Derivative-Free Methods
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Hansen(2006, Econometrics)

# Hansen(2006, Econometrics)

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07/11/2012

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