Econometric theory and methods, Russell Davidson - Chapter 11 ppt

... (11. 83). Copyright c  1999, Russell Davidson and James G. MacKinnon 11. 10 Exercises 489 11. 11 For the probit model estimated in Exercise 11. 10, obtain at least three sensible sets of standard error estimates. ... independently in somewhat different forms, by Engle (1984) and Davidson and MacKinnon (1984b). Copyright c  1999, Russell Davidson and James G. MacKinnon 1...

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... simulated data, and compare the plot with that of the residuals from the real data. Comments? Copyright c  1999, Russell Davidson and James G. MacKinnon 3.6 Residuals and Error Terms 111 corresponding ... inconsistency, and the relationship between bias and inconsistency, imagine that we are trying to estimate the population Copyright c  1999, Russell Davidson and Jame...

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... provided in Davidson and MacKinnon (1993). How- ever, it is impossible to understand large parts of econometrics without having some idea of how asymptotic theory works and what we can learn ... the sum of m independent, squared, standard normal random variables. From the definition of the chi-squared distribution, Copyright c  1999, Russell Davidson and James G. MacKinnon 4.4 E...

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... 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 James G. MacKinnon 522 ... diagonal Σ. Here it is the equation-by-equation IV estimator that takes the place of the equation-by-equation OLS estimator. Copyright c  1999, Russell Davidson and James G. Mac...

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... matrices:  A 11 A 12 A 21 A 22  B 11 B 12 B 21 B 22  =  A 11 B 11 + A 12 B 21 A 11 B 12 + A 12 B 22 A 21 B 11 + A 22 B 21 A 21 B 12 + A 22 B 22  . Check all the expressions on the right-hand side, ... n 1 + n 2 = n and k 1 + k 2 = k. Thus X 11 and X 12 have the same number of rows, and also X 21 and X 22 , as required for the submatrices to fit together horizontally...

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... OC. Copyright c  1999, Russell Davidson and James G. MacKinnon 2.4 The Frisch-Waugh-Lovell Theorem 69 by looking again at Figure 2.13, in which the constant ι plays the role of X 1 , and the centered ... least squares esti- mates, which we will refer to as the Frisch-Waugh-Lovell Theorem, or FWL Theorem for short. It was introduced to econometricians by Frisch and Waugh (1933), an...

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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 ... s θ z 1−(α/2)  . Copyright c  1999, Russell Davidson and James G. MacKinnon 5.8 Exercises 211 For each of the two DGPs and each of the N simulated data sets, construct...

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... include Bard (1974), 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 ... 5.5, ˆ Ω can, and probably should, be replaced by a modified version with better finite-sample properties. Copyright c  1999, Russell Davidson and James G. MacKinnon 6.5 The...

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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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... (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, Russell Davidson and James ... terms. Copyright c  1999, Russell Davidson and James G. MacKinnon 8.3 Instrumental Variables Estimation 313 It can be seen from this solution that p t and q t will depend...

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