A First Course in Econometric TheoryThis textbook takes the reader from the basics of econometric theory to familiarity with the techniques now used in computer econometric applications. Presupposing no knowledge of matrix algebra, Bacon combines numerical examples and problem-answer sections with rigorous treatment of such key topics as the Gauss Markov theorem and Aitken's theorem to provide an understanding of how and why the principal results of econometric theory are obtained. |
Contents
The Basic Model and Least Squares Estimation | 7 |
Problems 2 | 29 |
The Properties of Least Squares Estimation | 39 |
Copyright | |
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alternative hypothesis assumptions B₁ B₂ coefficients condition confidence interval Consider consumption covariance critical value CRUZ The University degrees of freedom dependent variable equal error term error variance estimated parameters estimated value estimated variance example exogenous variables explanatory variables F distribution F statistic F test fitted values fixed in repeated forecast formula function Gauss-Markov theorem given Hence heteroskedasticity homoskedastic hypothetical value income independent instrument instrumental variables intercept large samples likelihood function linear restriction linear unbiased estimator measurement error model Y₁ multiple regression normally distributed null hypothesis obtain OLS estimator optimality plim predictor problem procedure properties repeated samples residual sum restricted model restricted sum right-hand tail RSSQ serial correlation ẞ₁ standard error Substituting sum of squares technique test statistic transformed true value U₁ unbiased estimator unemployment Wald test X₁ Y₂ zero ΣΟ ΣΥ ΣΥΧ ΣΧ
