LI Econometrics

FORMULA SHEET

yi x1i x22i − yi x2i x1i x2i

P P P P
OLS partial slope estimators
β̂1 =
in a typical 3-variable model x1i x2i − ( x1i x2i )2
P 2 P 2 P
(deviation form)
yi x2i x21i − yi x1i x1i x2i
P P P P
β̂2 =
x1i x2i − ( x1i x2i )2
P 2 P 2 P

 
ESS
2 RSS 2 n−1 2
Coefficient of determination R = =1− R̄ = 1 − (1 − R )
T SS T SS n−K

(RSSr − RSSu )/q

Joint F test F∗ = ∼ F(q,n−K)
RSSu /(n − K)

R2 /(K − 1)
Overall F test F∗ = ∼ F(K−1,n−K)
(1 − R2 )/(n − K)

∗ 2
Farrar-Glauber χ2 test χ = −[n − 1 − 16 (2k + 5)] ln H ∼ χ2(0.5k(k−1),α)

Rs2 /(K − 1)
Farrar-Glauber F test F∗ = ∼ F(K−1,n−K)
(1 − Rs2 )/(n − K)
√
∗ rs n − K
Farrar-Glauber t test t = p ∼ t(n−K,α/2)
1 − rs2

n 2 n
Jarque-Bera test JB = µ̂3 + (µ̂4 − 3)2 ∼ χ22 = 5.99
6 24

Durbin-Watson test DW = 2(1 − ρ̂) ∼ d(n,K)

(RSSr − RSSu )/(m − 1)

White test F∗ = ∼ F(m−1,n−m)
RSSu /(n − m)

σ̂22
Goldfeld-Quandt test F∗ = ∼ F(n2 −K,n1 −K)
σ̂12

(β̂ IV − β̂ OLS )2
Hausman test H=q ∼ χ2k
se(β̂ IV )2 − se(β̂ OLS )2

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