Econometric theory and methods, Russell Davidson - Chapter 12 pptx
Econometric theory and methods, Russell Davidson - Chapter 12 pptx
... indicates, 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 ... β
•
and Σ by using equations (12. 78) and (12. 17), respectively.
From the results (12. 62) and (12. 63), it is clear that we can estimate the
covariance matrix of...
Econometric theory and methods, Russell Davidson - Chapter 1 docx
... 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, ... X
12
and
X
22
, as required for the submatrices to fit together vertically as well.
Copyright
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1999, Russell Davidson and James G. MacKinnon
6 Regression Models
Dis...
Econometric theory and methods, Russell Davidson - Chapter 2 doc
... OC.
Copyright
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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...
Econometric theory and methods, Russell Davidson - Chapter 3 ppt
... regressors and their cross-products. Thus there should not be too much
dependence between X
ti
X
tj
and X
si
X
sj
for s = t, and the variances of these
quantities should not differ too much as t and ... (3.19)
Copyright
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1999, Russell Davidson and James G. MacKinnon
3.6 Residuals and Error Terms 109
The consistency of
ˆ
β implies that
ˆ
u → u as n → ∞, but the finite-sample...
Econometric theory and methods, Russell Davidson - Chapter 4 ppt
... 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...
Econometric theory and methods, Russell Davidson - Chapter 5 ppsx
... 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 ... may still seem strange that the lower and upper limits of (5.13) depend,
respectively, on the upper-tail and lower-tail quantiles of the t(n − k) distri-
bution. This actually...
Econometric theory and methods, Russell Davidson - Chapter 6 docx
... 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 ... has mean 0, and the IID assumption
in (6.02) is enough to allow us to apply a law of large numbers to that sum. It
follows that the right-hand side, and therefore also the left...
Econometric theory and methods, Russell Davidson - Chapter 7 doc
... 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...
Econometric theory and methods, Russell Davidson - Chapter 8 pot
... (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...
Econometric theory and methods, Russell Davidson - Chapter 9 potx
... moments and the inverse of the matrix W
Ω
0
W. Equivalently, it is a
quadratic form in n
−1/2
W
(y − Xβ) and the inverse of n
−1
W
Ω
0
W, since
Copyright
c
1999, Russell Davidson and James ... the Newey-West esti-
mator, and shows that, in some circumstances, they may perform better than
it does in finite samples. A different approach to HAC estimation is suggested
by Andrew...
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