In writing this new edition we have had two major objectives. The first is to provide a comprehensive and accessible account of available econometric methods. The second is to illustrate these methods with applications to some real data sets, which are given on the data diskette that accompanies the book; thus, the reader can replicate the applications in the text, experiment with some of the problems suggested at the chapter ends, and carry out further analyses of her own choosing.
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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 autocorrelated 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 likelihood function linear unbiased estimator linearly independent LISE matrix of order method multicollinearity multiple 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 slope specification Statist stochastic Substituting sum of squares Suppose symmetric matrix Table tion transformed two-variable uncorrelated variance-covariance matrix variation x'Ax zero