tailieunhanh - ECONOMETRICS - Kinh tế

Tài liệu môn kinh tế bằng Tiếng Anh. Econometrics is the study of estimation and inference for economic models using economic data. Econo- metric theory concerns the study and development of tools and methods for applied econometric applications. Applied econometrics concerns the application of these tools to economic data. | ECONOMETRICS Bruce E. Hansen 2000 20071 University of Wisconsin bhansen This Revision January 18 2007 Comments Welcome This manuscript may be printed and reproduced for individual or instructional use but may not be printed for commercial purposes. Contents 1 Introduction 1 Economic Data. 1 Observational Data. 1 Economic Data. 2 2 Regression and Projection 3 Variables . 3 Conditional Density and Mean. 3 Regression Equation. 4 Conditional Variance. 6 Linear Regression. 6 Best Linear Predictor . 7 Technical Proofs . 9 Exercises . 11 3 Least Squares Estimation 12 Random Sample . 12 Estimation . 12 Least Squares . 14 Normal Regression Model. 15 Model in Matrix Notation. 16 Projection Matrices. 17 Residual Regression . 18 Bias and Variance . 20 Gauss-Markov Theorem. 21 Semiparametric Efficiency. 22 Multicollinearity . 23 Influential Observations. 23 Technical Proofs . 24 Exercises . 25 4 Inference 27 Sampling Distribution . 27 Consistency . 28 Asymptotic Normality. 29 Covariance Matrix Estimation . 31 Alternative Covariance Matrix Estimators . 33 Functions of Parameters. 33 t tests . 34 Confidence Intervals. 35 Wald Tests . 36 F Tests . 37 Normal Regression Model . 38 Problems with Tests of NonLinear Hypotheses . 39 Monte Carlo Simulation . 42 Estimating a Wage Equation . 44 Technical Proofs . 45 i Exercises . 48 5 Additional Regression Topics 51 Generalized Least Squares. 51 Testing for Heteroskedasticity. 53 Forecast Intervals. 54 NonLinear Least Squares . 55 Least Absolute Deviations. 56 Quantile Regression . 57 Testing for Omitted NonLinearity. 58 Omitted Variables . 59 Irrelevant Variables. 60 Model Selection. 60 Technical Proofs . 62 Exercises . 64 6 The Bootstrap 66 Definition of the Bootstrap . 66 The Empirical .