Econometric Analysis |
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apply assume assumption asymptotic covariance matrix asymptotic distribution autocorrelation B₁ B₂ Chapter characteristic roots chi-squared chi-squared distribution classical regression model coefficients column computed consider consistent estimator constant term converges correlation covariance matrix critical value degrees of freedom density derivatives diagonal discussion disturbances dummy variable econometrics efficient equal equation esti estimator of ẞ example FGLS estimator finite GMM estimator heteroscedasticity homoscedasticity income instrumental variables iteration Lagrange multiplier least squares estimator likelihood function likelihood ratio linear regression log-likelihood log-likelihood function logit model mator maximum likelihood estimator mean method normal distribution observations obtain ordinary least squares parameters plim Poisson probability probit model problem produces random variable regressors restrictions sample Section slope squared residuals standard errors standard normal sum of squares Suppose Table test statistic THEOREM tion Var[b variance vector Wald test x₁ y₁ zero σ²