## A First Course in Econometric TheoryThis textbook takes the reader from the basics of econometric theory to familiarity with the techniques now used in computer econometric applications. Presupposing no knowledge of matrix algebra, Bacon combines numerical examples and problem-answer sections with rigorous treatment of such key topics as the Gauss Markov theorem and Aitken's theorem to provide an understanding of how and why the principal results of econometric theory are obtained. |

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### Contents

Hypothesis Testing | 5 |

lJTpeBasic Model and Least Squares Estimation | 6 |

The Properties of Least Squares Estimation | 39 |

Copyright | |

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### Common terms and phrases

actual assumptions average basic bias biased BLUE Cauchy-Schwarz inequality cent clearly Consider consumption function covariance critical value degrees of freedom dependent variable derive deviations econometrician econometrics effect endogenous equal error term error variance estimated parameters estimated value estimated variance example exogenous variables expected value explanatory variables F statistic F test fitted values fixed in repeated forecast formula Gauss-Markov theorem given Hence heteroskedasticity homoskedastic hypothetical value income independent instrumental variables intercept large samples least squares estimator linear estimator linear unbiased estimator measurement error minimize multicollinearity normally distributed null hypothesis number of observations obtain OLS estimator optimal ordinary least squares plim polynomial predictor problem procedure properties random repeated samples residual sum result RSSQ serial correlation set of data single-variable standard error Substituting sum of squares technique test statistic transformed true parameters true value true variance TSLS TSSQ two-variable unbiasedness uncorrelated unity unrestricted weights zero