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Home arrow Economics arrow Econometrics

A short course of lectures
«Econometrics»





The cumulative probability function - the continuous caseThe cumulative probability function - the discrete caseTest for structural differencesIntercept dummy variablesThe t-distributionPartial marginal effectsThe Durbins h test statisticThe Chi-square distributionThe population regression modelThe normal distributionThe rank condition of identificationMeasuring the degree of multicollinearityHeteroskedasticity and diagnosticsConfidence intervalThe assumptions of the simple regression modelGLS when AR(1)Heteroskedasticity-robust standard errorsThe Durbin Watson testThe adjusted coefficient of determination (Adjusted R2)Dummy variablesThe log-log specificationThe analysis of variance table (ANOVA)Piecewise linear regressionProperties of probabilitiesSlope dummy variablesStatistical testsIdentificationSkewness and kurtosisMeasurement errorsA model will intercept and slope dummy variableDefinition and the nature of autocorrelationOmission of a relevant variableTesting the regression equationMeasures of dispersionEstimation of population parametersStatistical inferenceChoosing the functional formThe method of ordinary least squaresDetection of autocorrelationThe structural and reduced form equationRemedial measuresSpecificationIndirect Least Squares (ILS)Testing a subset of coefficientsThe linear specificationQualitative variables with several categoriesAutocorrelation and diagnosticsThe linear-log specificationThe probability function - the discrete caseProperties of the least squares estimatorCharacteristics of probability distributionsGraphical methodsModel MeasuresBasics of probability and statisticsThe coefficient of determination (R2)Type I and type II errorsConsequences of using OLSSimultaneous equation modelsThe economic modelMeasures of linear relationshipThe multivariate probability distribution functionInclusion of an irrelevant variableThe order condition of identificationThe best linear predictorP-value in hypothesis testingMulticollinearity and diagnosticsThe multiple regression modelThe econometric modelThe LM-testTwo Stage Least Squares (2SLS)ConsequencesDetecting heteroskedasticityGLS when AR(2)The F-distributionEstimation methodsRandom variables and probability distributionsThe log-linear specificationThe joint hypothesis testRemedial measuresMeasures of central tendencyRemedial measuresBasic probability distributions in econometricsHypothesis testingThe probability function - the continuous caseConsequencesEstimation of partial regression coefficientsThe simple regression model
 
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