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2SLS adaptive expectations analysis assumptions autocorrelation autoregressive Chapter compute confidence interval consider consistent estimates constant term criterion defined degrees of freedom demand function denote dependent variable dummy variables DW test Econometrica Econometrics economic endogenous error term error variances estimates of ft exogenous variables expectations model explanatory variables f-distribution f-ratios F-test Figures in parentheses Hence heteroskedasticity Illustrative Example income instance instrumental variable least squares estimators least squares residuals linear probability model logit model measure multicollinearity multiple regression normal distribution Note observations obtained OLS estimation omitted variables parameters plim prediction error probit problem procedure proxy rational expectations recursive residuals regression coefficient regression equation regression model regressors relationship residual sum ridge regression sample serial correlation significance level simple regression standard errors studentized residuals suggested sum of squares supply function Suppose Table test statistic test the hypothesis uncorrelated values variance a2 zero
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Regression Models for Categorical and Limited Dependent Variables
J. Scott Long
Limited preview - 1997