Handbook of computational econometrics

... matrices of order L X L and K X L, respectively: r YII Y 21 Y12-.*YIL PI1 Pl2-.-PIL Y22 Y2L P 21 P22 P2L YLI r= YL2 where n X L P,, P,L_ XB=E, Yll Y 21 _Y nl (2.3) matrices of the two sets of ... modeling of a disturbance covariance matrix 9 .1 Rational random behavior 9.2 The asymptotics of rational random behavior 9.3 Applications to demand and supply 10 The Moore-Penrose 10...

Ngày tải lên: 02/07/2014, 21:21

... (2ncf;)- 2 exp{-(x2-P2 )2/ 2~~ ,2) (2. 56) and f(xJx2;)= [27 ro:(1-p2)]- 2 Xexp{-[x,-~,-p, .2( x2- ~2) 12/ 2(1-p2)o:}, (2. 57) where p, = a,p/u, From (2. 56), it is seen that the marginal pdf for Z2 is normal ... (2~ )-“ 21 G,111~2exp{- (2. 67a) and dx,lce,) = w- m2’ - %GII’ 21 G 22 G 121 1/2w{- Q2 /2) , (2. 67b) with mi the number of elements in xi, i = 1 ,2, ml + m2 = m, Q,, and Q2 as...

Ngày tải lên: 02/07/2014, 21:21

... replace ,) Conditions 4. 4.2 and 4. 4.3 by those similar to Conditions 4. 3.2 and 4. 3.3 to keep the system identified Or we may rely on [Kohn (1979)]: Theorem 4. 4.2 Under Condition 4. 4.1 and 0, = Zc, ... constant and (4. 32) and (4. 33) hold Combining Lemma 4. 2.1 and Lemma 4. 4.1 we obtain the following proposition about observationally equivalent structures with regard to model (...

Ngày tải lên: 02/07/2014, 21:21

... fall into one of four categories, each of which measures different aspects of the problem.4 (1) (2) (3) (4) Measures of Measures .of Measures of Measures of the the the the “quality of the design” ... Hypotheses by Goodness of Fit”, Economics Journal, 85, 877-882 Ch 5: Model Choice 329 Neyman, Jerzy (1 958 ) “The Use of the Concept of Power in Agricultural Experimentati...

Ngày tải lên: 02/07/2014, 22:20

... x/S> a T_ K) ’ (2 .65 ) Note that j? actually drops out of the denominator of (2 .65 ), which makes the computation of the confidence region simple in this case In analogy to (2 .65 ), Hartley (1 964 ) ... Z)-‘ ](y-f)

Ngày tải lên: 02/07/2014, 22:20

... is found in Goldberger (1 970 ), Geraci (1 977 ,1 978 ), Hausman (1 977 ), and Hsiao (1 976 ) Also, see Aigner, Hsiao, Kapteyn and Wansbeek (Chapter 23 in this Handbook) Ch 7: Simultaneous Equation Models ... the case of restrictions on Xl4 14Hsiao (Chapter models He discusses in this Handbook) also discusses the case of errors in variables also identification of simultaneous equa...

Ngày tải lên: 02/07/2014, 22:20

... background The concept of using a polynomial approximation of 8, in terms of the elements of m to produce an approximate distribution for 8, can also be used to approximate the moments of 8, , where these ... approximations by using an expansion of 8, (in the case of the k-class estimator) in terms of increasing powers of o, where IJ* is a scalar multiple of the covari...

Ngày tải lên: 02/07/2014, 22:20

... Richard 5.5 An application 555 5.6 Normalization and invariance 557 5 59 561 561 561 563 567 568 571 5 79 5 79 5 79 581 585 5 89 595 596 5.1 Two generalizations Full information analysis 6.1 Introduction ... and Richard ( 197 3) See also Dreze ( 197 6), Kaufman ( 197 5), and Maddala ( 197 6) for the analysis of Tintner’s model of supply and demand for meat; and Zellner, Kmenta and Dr...

Ngày tải lên: 02/07/2014, 22:20

... “ ,/ p(e,&ct = 0.05 “‘ \.-.\ ‘ \ /;‘ -I _ h_ ‘ L - ._ _ i;c, /’ p(e,&ol=o.l ‘ = _ “ ‘ , ., -. -. -_ -. -_ ‘ _ I _ Y P(P b) 200 -$ $f I 0 I I I I 10 15 20 25 30 x Hypothesis Error X = S’ S/~CT* ... as discussed in Chapter of this Handbook by Zellner, we usually compare the posterior probability of the null hypothesis with that of the alternative hypothesis...

Ngày tải lên: 02/07/2014, 22:20

... matrix of explanatory variables p: p X column vector of regression parameters E: n X column vector of errors * : error variance Additional notation x,: i th row of X matrix same same b: estimate of ... average number of rooms squared proportion of owner-occupied units built prior to 1940 logarithm of the weighted distances to five employment centers in the Boston region logari...

Ngày tải lên: 02/07/2014, 22:20

... approximations 8.3 Evaluation of multivariate 8.4 and other false optima Special cases of the multivariate The generation of random 9.1 The generation of uniformly 9.2 The generation of normally References ... solving Ab = c The computation of each of the above estimators, as well as of many others, requires the inverse of A Error in the inversion process accumulates as a re...

Ngày tải lên: 02/07/2014, 22:20

... - p,n ,_, - - $$_p The test for (p + r,O) or (p, r) error process can be calculated as TR2 of the regression of Et on it, cr_i , , iit_p, E,_i , , ‘&-r, where Zr= x, - yix,_i - $,x ,_~ Just ... case: h = a,, + a,C ;_ + + api&, = z,a This is really much like that discussed above as ii ,_ = y ,_ - x ,_ ,p and both yr_ ‘Adrian Pagan has suggested and used this model Ch 13:...

Ngày tải lên: 02/07/2014, 22:20

... commonly of most interest Let G be the set of \cI of primary interest and the complement of G relative to L, denoted by L - G, be the set of J, in L of secondary interest It is assumed that this twofold ... the origin The length of the major axis of the elliptical region (2.20) and the length of the sides of the square become infinite as the absolute value of r tends to...

Ngày tải lên: 02/07/2014, 22:20

... to the stochastic equivalent (evaluate the mean of a random variable) Quandt in Chapter 12 of this Handbook discusses the numerical evaluation of integrals in general Rather clearly, distribution ... T) in (7) As perusal of recent finite sample distributional results will reveal (see, for example, Phillips, Chapter in this Handbook, and Rothenberg, Chapter 15 in this Handboo...

Ngày tải lên: 02/07/2014, 22:20