Econometric theory and methods, Russell Davidson - Chapter 4 ppt

... move Copyright c  1999, Russell Davidson and James G. MacKinnon 4. 5 Large-Sample Tests in Linear Regression Models 153 are generated by (4. 47) with β 2 = 0, we have that M 1 y = M 1 u, and so (4. 50) is asymptotically ... (4. 35) Copyright c  1999, Russell Davidson and James G. MacKinnon 4. 5 Large-Sample Tests in Linear Regression Models 149 Figure 4. 6 shows the EDFs f...

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... w 2 1 Var( ˆ β 1 ) + w 2 4 Var( ˆ β 4 ) + 2w 1 w 4 Cov( ˆ β 1 , ˆ β 4 ) = 9 Var( ˆ β 1 ) + Var( ˆ β 4 ) −6Cov( ˆ β 1 , ˆ β 4 ). Notice that the variance of ˆγ depends on the covariance of ˆ β 1 and ˆ β 4 as well as ... covariance is large and positive, Var(ˆγ) may be small, even if Var( ˆ β 1 ) and Var( ˆ β 4 ) are both large. Copyright c  1999, Russell Davidson an...

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... different forms, by Engle (19 84) and Davidson and MacKinnon (1984b). Copyright c  1999, Russell Davidson and James G. MacKinnon 11.2 Binary Response Models: Estimation 44 7 Maximum Likelihood Estimation ... models? Copyright c  1999, Russell Davidson and James G. MacKinnon 48 4 Discrete and Limited Dependent Variables 0 1 2 3 4 5 6 7 8 9 10 0.0 0.5 1.0 1.5 2.0 2.5 3....

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... Srivastava and Giles (1987), and a useful recent survey paper is Fiebig (2001). Copyright c  1999, Russell Davidson and James G. MacKinnon 5 14 Multivariate Models Since equations (12. 54) form a ... equation (12.97) is a demand function, and equation (12.98) is a supply function. In this system, p t and q t denote the price and Copyright c  1999, Russell Davidson and...

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... in full. Copyright c  1999, Russell Davidson and James G. MacKinnon 40 Regression Models 1.5 Suppose that X and Y are two binary random variables. Their joint distri- bution is given in the following ... product of X 1 and an independent random variable Z, which equals 1 with probability 1 / 2 and −1 with probability 1 / 2 . Copyright c  1999, Russell Davidson and James G...

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... matrix, which is 5 × 3:      1 0 1 1 4 0 1 0 1 1 4 0 1 0 1      . (2.16) Copyright c  1999, Russell Davidson and James G. MacKinnon 2 .4 The Frisch-Waugh-Lovell Theorem 67 Two Groups of Regressors The ... of. Theorem 2.1. (Frisch-Waugh-Lovell Theorem) 1. The OLS estimates of β 2 from regressions (2. 34) and (2 .41 ) are numerically identical. 2. The residuals from regr...

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... factor on the right-hand side tends to S −1 X  X as n → ∞, and the second factor, which is just v, tends to a random vector distributed as Copyright c  1999, Russell Davidson and James G. MacKinnon 5.3 ... the median is in the right-hand tail of the distribution, and any τ less than the median is in the left-hand tail. Exact Confidence Intervals for Regression Coefficients In Section...

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... include Bard (19 74) , Gill, Murray, and Wright (1981), Quandt (1983), Bates and Watts (1988), Seber and Wild (1989, Chapter 14) , and Press et al. (1992a, 1992b, Chapter 10). There are many algorithms ... relation between the parameters δ 0 , δ 1 , and ρ of this model and the parameters α, β, γ 0 , and γ 1 of (6. 94) . How Copyright c  1999, Russell Davidson and Jame...

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... matrix- weighted averages of the within-groups, or fixed-effects, estimator (7.85) and Copyright c  1999, Russell Davidson and James G. MacKinnon Chapter 7 Generalized Least Squares and Related Topics 7.1 Introduction If ... the 2 See Dufour, Gaudry, and Liem (1980) and Betancourt and Kelejian (1981). Copyright c  1999, Russell Davidson and James G. MacKinnon 300 Gener...

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... (19 94) , Bound, Jaeger, and Baker (1995), Dufour (1997), Staiger and Stock (1997), Wang and Zivot (1998), Zivot, Startz, and Nelson (1998), Angrist, Imbens, and Krueger (1999), Blomquist and Dahlberg ... (1999), Donald and Newey (2001), Hahn and Hausman (2002), Kleibergen (2002), and Stock, Wright, and Yogo (2002). There remain many unsolved problems. Copyright c  1999,...

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