graduate econometrics lectures note外语英文电子书

《graduate econometrics lectures note外语英文电子书》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、GraduateEconometricsLectureNotesMichaelCreelVersion0.2,Copyright(C)Jan28,2002byMichaelCreelContents1License,availabilityanduse101.1License.................................101.2Obtainingthenotes...........................101.3Use...................................102Eco

2、nomicandeconometricmodels113OrdinaryLeastSquares133.1Theclassicallinearmodel.......................133.2Estimationbyleastsquares.......................143.3Estimatingtheerrorvariance......................153.4Geometricinterpretationofleastsquaresestimation..........153.

3、4.1InX;YSpace..........................153.4.2InObservationSpace......................16Dept.ofEconomicsandEconomicHistory,UniversitatAutònomadeBarcelona.michael.creel@uab.es13.4.3ProjectionMatrices.......................163.5Influentialobservationsandoutliers..........

4、........183.6Goodnessoffit.............................193.7Smallsamplepropertiesoftheleastsquaresestimator.........213.7.1Unbiasedness..........................213.7.2Normality............................223.7.3Efficiency(Gauss-Markovtheorem)..............224Maximumlikel

5、ihoodestimation254.1Thelikelihoodfunction.........................254.2ConsistencyofMLE..........................264.3Thescorefunction...........................284.4AsymptoticnormalityofMLE.....................304.5Theinformationmatrixequality....................344.6T

6、heCramér-Raolowerbound.....................365Asymptoticpropertiesoftheleastsquaresestimator405.1Consistency...............................405.2Asymptoticnormality..........................415.3Asymptoticefficiency..........................426Restrictionsandhypothesistes

7、ts446.1Exactlinearrestrictions.........................446.1.1Imposition...........................456.1.2Propertiesoftherestrictedestimator..............496.2Testing..................................506.2.1t-test..............................5026.2.2Ftest..............

8、................546.2.3Wald-typetests.........................556.2.4Score-typetests(Raotests,Lagrangemultipli