## Econometric theory |

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### Contents

CHAPTER PAGE | 1 |

BASIC CONCEPTS OF STATISTICAL INFERENCE | 49 |

CLASSICAL LINEAR REGRESSION | 156 |

Copyright | |

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### Common terms and phrases

2SLS asymptotic covariance matrix asymptotic variance characteristic roots classical least-squares estimators classical linear regression column compute conditional distribution conditional expectation consider consistent estimator contemporaneous defined density function dependent variables derived diagonal elements disturbance econometric endogenous variables event f(xu hypothesis idempotent income joint distribution LI/LGRV linear function linear regression model mass or density method multivariate n x 1 vector n x n matrix nonnegative definite nonsingular nonsingular matrix normally distributed obtained orthogonal orthogonal matrix partitioned plim positive definite predetermined variables probability distribution probability limit properties quadratic form random sampling random variables random vector reduced form reduced-form coefficients regressand regressors relationship residuals restrictions sample mean sample observations sample statistics sample variance sampling distribution scalar Section simply specification standard normal statistical inference stochastic process structural equation sum of squares Suppose symmetric matrix tion unbiased estimator uncorrelated values x'Ax zero