Simultaneous Inference in Econometric Models |
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1)-vectors h 2SLS 2SLS-estimator 3SLS analogously Aẞ assumptions asymptotic distribution Asymptotically simultaneous confidence B₁ Bonferroni Brundy and Jorgenson chapter confidence ellipsoid consistent estimator constructed contain the true corresponding element defined disturbances econometric models Econometrica esti exogenous variables F-test follows from Theorem forecast error future values given by Theorem gonal H₁ hypothesis i,IV instrumental variable estimator intervals for future IV-estimator jointly dependent variables Jorgenson 1971 Linear Model main dia main diagonal mator matrix normal distributed number chosen OLS-estimator paper ISBN parameters parameterspace parametervector plim predetermined variables prediction intervals proof directly follows reduced form regression coefficients Scheffé Schmidt seemingly unrelated regressions simultaneous confidence intervals simultaneous equation simultaneous forecast intervals simultaneous inference Sôn step ahead forecast test statistic Theorem 2.3 tion true parameterpoint variance-covariance-matrix vec(Î vector x k)-vector ŷrte YT+H YT+l Zellner νν