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Home arrow Economics arrow Econometrics

A short course of lectures
«Econometrics»





GLS when AR(2)Model MeasuresThe simple regression modelProperties of probabilitiesPiecewise linear regressionThe multivariate probability distribution functionThe Durbin Watson testMulticollinearity and diagnosticsMeasurement errorsDefinition and the nature of autocorrelationThe log-linear specificationThe population regression modelTesting a subset of coefficientsThe F-distributionThe structural and reduced form equationA model will intercept and slope dummy variableInclusion of an irrelevant variableDetection of autocorrelationRandom variables and probability distributionsEstimation of population parametersGLS when AR(1)The economic modelThe rank condition of identificationMeasures of central tendencyOmission of a relevant variableStatistical testsThe log-log specificationDetecting heteroskedasticityThe Durbins h test statisticAutocorrelation and diagnosticsThe econometric modelType I and type II errorsPartial marginal effectsThe linear-log specificationRemedial measuresSkewness and kurtosisThe cumulative probability function - the discrete caseMeasures of linear relationshipThe LM-testTwo Stage Least Squares (2SLS)The probability function - the discrete caseMeasures of dispersionGraphical methodsConfidence intervalSlope dummy variablesIntercept dummy variablesStatistical inferenceQualitative variables with several categoriesThe method of ordinary least squaresThe cumulative probability function - the continuous caseIdentificationRemedial measuresDummy variablesThe Chi-square distributionTesting the regression equationThe linear specificationThe order condition of identificationConsequencesHypothesis testingHeteroskedasticity and diagnosticsThe multiple regression modelTest for structural differencesEstimation methodsBasics of probability and statisticsChoosing the functional formMeasuring the degree of multicollinearityThe analysis of variance table (ANOVA)Properties of the least squares estimatorThe t-distributionSimultaneous equation modelsConsequences of using OLSThe best linear predictorHeteroskedasticity-robust standard errorsConsequencesIndirect Least Squares (ILS)The coefficient of determination (R2)The joint hypothesis testThe adjusted coefficient of determination (Adjusted R2)Characteristics of probability distributionsEstimation of partial regression coefficientsBasic probability distributions in econometricsSpecificationThe assumptions of the simple regression modelThe normal distributionRemedial measuresThe probability function - the continuous caseP-value in hypothesis testing
 
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