## Elements of econometrics |

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This was my first econometrics book as an undergraduate in economics at Queen's University in Canada in the late 1980s. It was not just an excellent and comprehensive introduction, but a great practical handbook for implementation. More advanced books took a more generalized vector calculus view of econometrics, but I found they complemented, rather than replaced this work by Kmenta.

### Contents

Experimental Derivation of Sampling Distributions | 18 |

Probability and Probability Distributions | 30 |

Theoretical Derivation of Sampling Distributions | 70 |

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### Common terms and phrases

acceptance region alternative assume assumptions asymptotic variance asymptotically efficient autoregressive calculated classical normal linear condition confidence intervals consider consistent estimator consumption function correlation corresponding covariance defined derived desirable properties determined E(Yt Econometric elements endogenous variables equal to zero Error Type esti estimator of a2 example explanatory variables Figure finite follows formula ftXt given heteroskedastic homoskedasticity income independent instrumental variables least squares estimators least squares method level of significance likelihood function linear regression linear regression model maximum likelihood estimators multicollinearity nonlinear nonstochastic normal linear regression normally distributed Note null hypothesis obtain ordinary least squares parameters plim population mean population regression random variable reduced form regression coefficients regression equation represents respect restricted sample mean sample observations sample space sampling distribution Section seemingly unrelated regressions specification standard deviation standard errors stochastic structural equation Suppose Table test statistic Theorem tion unbiased estimator unbiasedness variance a2 variance-covariance matrix