The nature of econometrics. The two-variable linear model. Extensions of the two-variable linear model. Elements of matrix algebra. The general linear model. Extensions of the general linear model. Generalized least-squares. Autocorrelation. Stochastic regressors, instrumental variables, and errors in variables. Lagged variables. Other multivariate methods. Simultaneous-equation methods: identification. Simultaneous-equation methods: estimation.
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The Twovariable Linear Model
Extensions of the Twovariable Linear Model
Elements of Matrix Algebra
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2SLS adaptive expectations analysis applied assume assumption asymptotic variance autocorrelation best linear unbiased bias Chap column vector compute confidence interval consistent estimators constant correlation coefficient covariance defined degrees of freedom denotes derived determinant deviations diagonal disturbance term dummy variables Econometric economic elements endogenous variables example exogenous explanatory variables FIML formulae function given gives homoscedasticity hypothesis income indicate intercept inverse lagged latent roots least-squares estimator least-squares regression likelihood function linear unbiased estimator linearly independent LISE matrix of order method multicollinearity nonsingular normal distribution obtained ordinary least-squares orthogonal parameters plim positive definite postulate predetermined variables principal components priori problem procedure rank relation residual sum restrictions result right-hand side sample observations sampling variance scalar simple least-squares slope specification Statist stochastic Substituting sum of squares Suppose symmetric matrix Table Theil tion transformed two-variable uncorrelated variance-covariance matrix variation zero