Lecture Notes for Econometrics

《Lecture Notes for Econometrics》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、Contents1Introduction51.1MeansandStandardDeviation.....................51.2TestingSampleMeans.........................6LectureNotesforEconometrics2002(firstyear1.3CovarianceandCorrelation.......................81.4LeastSquares..............................10PhDcourseinSto

2、ckholm)1.5MaximumLikelihood..........................111.6TheDistributionofˇO..........................12PaulSöderlind11.7DiagnosticTests.............................141.8TestingHypothesesaboutˇO......................14June2002(sometyposcorrectedandsomematerialaddedlater

3、)APracticalMatters16BACLTinAction172UnivariateTimeSeriesAnalysis212.1TheoreticalBackgroundtoTimeSeriesProcesses...........212.2EstimationofAutocovariances.....................222.3WhiteNoise...............................252.4MovingAverage............................252.

4、5Autoregression.............................282.6ARMAModels.............................352.7Non-stationaryProcesses........................363TheDistributionofaSampleAverage443.1VarianceofaSampleAverage.....................441UniversityofSt.Gallen.Address:s/bf-HSG,Rosen

5、bergstrasse52,CH-9000St.Gallen,3.2TheNewey-WestEstimator.......................48Switzerland.E-mail:Paul.Soderlind@unisg.ch.Documentname:EcmAll.TeX.13.3Summary................................507.9GMMwithSub-OptimalWeightingMatrix..............1137.10GMMwithoutaLossFunct

6、ion....................1144LeastSquares527.11SimulatedMomentsEstimator.....................1154.1DefinitionoftheLSEstimator.....................524.2LSandR2...............................548ExamplesandApplicationsofGMM1184.3FiniteSamplePropertiesofLS...................

7、..568.1GMMandClassicalEconometrics:Examples.............1184.4ConsistencyofLS............................578.2IdentificationofSystemsofSimultaneousEquations.........1244.5AsymptoticNormalityofLS......................598.3TestingforAutocorrelation.......................127

8、4.6Inference................................628.4EstimatingandTestingaNormalDistribution.............13