Introduction to Econometrics
This introductory text outlines the basic concepts and tools of econometrics. Actual data are included in the cases and problems found in each chapter. These cases apply data from many global sources.
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Statistical Background and Matrix Algebra
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2SLS adaptive expectations analysis assumptions asymptotic autocorrelation autoregressive Box-Jenkins Chapter cointegration compute confidence interval consider constant term correlogram data sets defined degrees of freedom demand function denote dependent variable dummy variables Econometrica Econometrics economic endogenous error term exogenous variables explanatory variables F-ratio forecast given Hence heteroskedasticity Illustrative Example independent instance instrumental variable least squares estimators least squares residuals linear probability model logit model matrix mean measure multicollinearity multiple regression normal distribution Note null hypothesis observations obtained OLS estimation omitted variables parameters plim prediction error probit problem procedure proxy random variable rational expectations ratios regression coefficient regression equation regression model regressors relationship residual sum sample serial correlation significance level standard errors stationary studentized residuals suggested sum of squares supply function Suppose test statistic test the hypothesis time-series tion unbiased uncorrelated unit root values variance a2 vectors x2-distribution zero
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Regression Models for Categorical and Limited Dependent Variables
J. Scott Long
Limited preview - 1997