Introduction to EconometricsAn introduction to econometrics. Among the topics covered are simple regression, multiple regression, autocorrelation, multicollinearity, dummy variables, truncated variables and simultaneous equation models. |
Contents
REVIEW OF SOME BASIC RESULTS | 8 |
SIMPLE REGRESSION | 27 |
4 | 83 |
Copyright | |
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Common terms and phrases
2SLS adaptive expectations analysis assumptions autocorrelation autoregressive B₁ B₁x₁ B₂ Chapter compute confidence interval consider consistent estimates constant term D₁ degrees of freedom demand function denote dependent variable dummy variables Econometrica Econometrics economic endogenous variables error term estimator of ẞ exogenous explanatory variables F-test H₁ Hence heteroskedasticity Illustrative Example instrumental variable K₁ least squares estimators least squares residuals linear probability model logit model measure multicollinearity multiple regression n₂ normal distribution observations obtained OLS estimation omitted variables P₁ parameters plim prediction error probit problem procedure proxy rational expectations recursive residuals regression coefficient regression equation regression model regressors relationship residual sum sample serial correlation significance level ẞ₁ ẞ₂ ẞx standard errors studentized residuals suggested sum of squares supply function t-ratios Table test statistic u₁ uncorrelated v₁ values X₁ y₁ y₂ z₁ zero σ²