What people are saying - Write a review
We haven't found any reviews in the usual places.
The classical regression model
Large sample theory
7 other sections not shown
2SLS alternative applied assumed assumption asymptotically behaviour calculated coefficients columns consider consistent consumption function converges in distribution converges in probability corresponding covariance critical value current endogenous variables data set defined degrees of freedom dependent variable differencing discussion disturbance variance dynamic model econometric elements equivalent example exogenous expenditure F test feasible GLS finite sample given gives Hence heteroscedasticity independent instrumental variable intercept lagged endogenous variables large sample least squares estimator likelihood function linear restrictions linearly independent matrix means method ML estimator multicollinearity nonlinear nonrandom nonsingular nonzero normal notation null hypothesis observations obtained period possible predicted values problem procedure quadratic form random variable reduced form regressors residual sum right hand side scalar Section serial correlation solution specification standard errors stationary sum of squares test statistic theory transformed unrestricted var(u vector whilst written x2 distribution zero