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Probability and Distribution Theory
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2SLS alternative Amemiya analysis assume assumption asymptotic covariance matrix asymptotic distribution autocorrelation Chapter characteristic roots chi-squared distribution classical regression model coefficients column computed condition consider consistent estimator constant term convergence correlation covariance matrix critical value data set degrees of freedom dependent variable derivatives diagonal discussion distributed lag dummy variable earlier Econometrica Economic equal equation example FGLS estimator forecast given heteroscedasticity homoscedasticity implies income instrumental variables iteration Journal of Econometrics lag model Lagrange multiplier Lagrange multiplier test least squares estimator least squares regression likelihood function log likelihood logit Maddala maximum likelihood estimator mean method nonlinear normal distribution observations obtain OLS estimator ordinary least squares plim polynomial positive definite probability probit model problem production random variable regressors restrictions Section seemingly unrelated regressions slope solution standard errors standard normal sum of squares Suppose Table test statistic theorem truncated unbiased estimator variance matrix vector Wald Wald test zero