Solutions Manual_Green

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1、SolutionsManualEconometricAnalysisFifthEditionWilliamH.GreeneNewYorkUniversityPrenticeHall,UpperSaddleRiver,NewJersey07458ContentsandNotationChapter1Introduction1Chapter2TheClassicalMultipleLinearRegressionModel2Chapter3LeastSquares3Chapter4Finite-SamplePropertiesoftheLeastSquaresEstimator

2、7Chapter5Large-SamplePropertiesoftheLeastSquaresandInstrumentalVariablesEstimators14Chapter6InferenceandPrediction19Chapter7FunctionalFormandStructuralChange23Chapter8SpecificationAnalysisandModelSelection30Chapter9NonlinearRegressionModels32Chapter10NonsphericalDisturbances-TheGeneralized

3、RegressionModel37Chapter11Heteroscedasticity41Chapter12SerialCorrelation49Chapter13ModelsforPanelData53Chapter14SystemsofRegressionEquations63Chapter15SimultaneousEquationsModels72Chapter16EstimationFrameworksinEconometrics78Chapter17MaximumLikelihoodEstimation84Chapter18TheGeneralizedMeth

4、odofMoments93Chapter19ModelswithLaggedVariables97Chapter20TimeSeriesModels101Chapter21ModelsforDiscreteChoice1106Chapter22LimitedDependentVariableandDurationModels112AppendixAMatrixAlgebra115AppendixBProbabilityandDistributionTheory123AppendixCEstimationandInference134AppendixDLargeSampleD

5、istributionTheory145AppendixEComputationandOptimization146Inthesolutions,wedenote:•scalarvalueswithitalic,lowercaseletters,asinaorα•columnvectorswithboldfacelowercaseletters,asinb,•rowvectorsastransposedcolumnvectors,asinb′,•singlepopulationparameterswithgreekletters,asinβ,•sampleestimates

6、ofparameterswithEnglishletters,asinbasanestimateofβ,•sampleestimatesofpopulationparameterswithacaret,asinαˆ•matriceswithboldfaceuppercaseletters,asinMorΣ,•crosssectionobservationswithsubscripti,timeseriesobservationswithsubscriptt.Theseareconsistentwiththenotationusedinthetext.Chapter1Intr

7、oductionTherearenoexercisesinChapter1.1Chapter2TheClassicalMultipleLinearRegressionModelTherearenoexercisesinChapter2.2Chapter3LeastSquares1x11.(a)LetX=...Thenormalequationsaregivenby(3-12),Xe′=0,henceforeachofthe1xncolumnsofX,xk,weknowthatxk’e=0.Thi