New PDF release: A Companion to Theoretical Econometrics

By Badi H. Baltagi

ISBN-10: 063121254X

ISBN-13: 9780631212546

A spouse to Theoretical Econometrics presents a complete connection with the fundamentals of econometrics. This significant other makes a speciality of the principles of the sphere and while integrates renowned issues frequently encountered via practitioners. The chapters are written by way of foreign specialists and supply up to date study in parts no longer often coated by means of general econometric texts.

  • Focuses at the foundations of econometrics.
  • Integrates real-world themes encountered through pros and practitioners.
  • Draws on up to date examine in parts no longer coated by way of ordinary econometrics texts.
  • Organized to supply transparent, obtainable details and element to extra readings.

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Extra resources for A Companion to Theoretical Econometrics

Sample text

MacKinnon (1984a). Model specification tests based on artificial linear regressions. International Economic Review 25, 485–502. G. MacKinnon (1984b). Convenient Specification Tests for Logit and Probit Models. Journal of Econometrics 25, 241–62. G. MacKinnon (1985a). Testing linear and loglinear regressions against Box–Cox alternatives. Canadian Journal of Economics 18, 499–517. G. MacKinnon (1985b). Heteroskedasticity-robust tests in regression directions. Annales de l’INSEE 59/60, 183–218. G.

23) is a quadratic form in a normally distributed r-vector, the mean of which is zero, and the inverse of its covariance matrix. Such a quadratic form follows the χ2(r) distribution. n ARTIFICIAL REGRESSIONS 25 Remarks. 24) s = q1b1 + q2b2 + residuals. 25): 51s = 51q2b2 + residuals. 23), or statistics asymptotically equivalent to it. 26) which works because the denominator tends to a probability limit of 1 as n → ∞. This statistic is, of course, in F rather than χ2 form. Another frequently used test statistic is available if Q is actually the vector of restricted estimates, that is, the estimator that minimizes the criterion function when the restriction that θ2 = 0 is imposed.

Throughout the chapter, Stock emphasizes the responsible production and interpretation of economic forecasts which have entered into many aspects of economic life. This requires a clear understanding of the associated econometric tools, their limitations, and an awareness of common pitfalls in their application. Stock provides a theoretical framework for considering some of the tradeoffs in the construction of economic forecasts. In particular, he decomposes the forecast error into three terms and shows how two sources of this error entail a tradeoff.

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A Companion to Theoretical Econometrics by Badi H. Baltagi

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