A GUIDE TO ECONOMETRICS SIXTH EDITION PETER KENNEDY Simon Fraser University ( Blackwell OD rsvissringContents Preface Dedication 1 Introduction 1.1 What is Eeonometries? 1.2) The Disturbance Term 1.3 Estimates and Estimators 1.4 Good and Preferred Estimators General Notes Technical Notes 2 Criteria for Estimators 2.1 Introduction 2.2. Computational Cost Least Squares 24° Highest R’ 2.5 Unbiasedness 2.6. Efficiency 2.7 Mean Square Error 2.8 Asymptotic Properties 2.9 Maximum Likelihood 2.10 Monte Carlo Studies 2.11 Adding Up General Notes Technical Notes The Classical Linear Regression Model 3.1 Textbooks as Catalogs 3.2 The Five AssumptionsContents, 3.3. The OLS General Notes Technical Notes ‘stimator in the CLR Model Interval Estimation and Hypott 4.1 Introduction 4.2. Testing a Single Hypothesis: the s Test 4.3, Testing a Joint Hypothesis: the F Test 4.4 Interval Estimation for a Parameter Vector 4.5 LR, W, and LM Statistics 4.6 Bootstrapping General Notes Technical Notes Specification 5.1 Introduction 5.2. Three Methodologies 5.3. General Principles for Specific 54 Missp 55 RP Again General Notes Technical Notes cation Tests/Diagnosties Violating Assumption One: Wrong Regressors, Nonlin Parameter Inconstancy 6.1 Introduction 6.2. Incorrect Set of Independent Variables 6.3. Nonlinearity 64° Changing Parameter Values General Notes Technical Notes Violating Assumption Two: Nonzero Expected Disturbance General Notes Violating Assumption Three: Nonspherica 8.1 Introduetion 2 Consequences of Viokation 8.3 Heteroskedasticity 84° Autocorrelated Disturbances 8.5. Generalized Method of Moments General Notes ‘Technical Notes Disturbances ‘Violating Assumption Four: Instrumental Vai 9.1 Introduction 9.2. The IV Estimator 9.3 IV Issues 43 44 47 31 SI 52 54 56 38 59 o7 m n 72 78 76 7» 81 89)