By Badi H. Baltagi
A spouse to Theoretical Econometrics offers a complete connection with the fundamentals of econometrics. This spouse makes a speciality of the rules of the sphere and while integrates renowned subject matters frequently encountered by way of practitioners. The chapters are written by means of foreign specialists and supply up to date study in components now not often lined through commonplace econometric texts. specializes in the rules of econometrics. Integrates real-world themes encountered through execs and practitioners. attracts on updated study in parts now not coated by means of normal econometrics texts. equipped to supply transparent, available details and aspect to extra readings.
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Additional info for A Companion to Theoretical Econometrics (Blackwell Companions to Contemporary Economics)
The GNR provides an easy way to see whether the firstorder conditions are actually satisfied. If all the t-statistics for the GNR are not less than about 10−4, and the R2 is not less than about 10−8, then the value of S reported by the program should be regarded with suspicion. 17) is to calculate an estimate of var(S), the covariance matrix of the NLS estimates. 16) except that everything is now evaluated at S. 17) provides an easy way to calculate what is arguably the best estimate of var(S).
Point optimal testing and its derivatives find a natural medium here whenever unique characterization of the null distribution for the “least favorable” cases is not possible. Applications in the parametric, semiparametric and nonparametric testing area are cited. Chapter 26 by Granger gives a brief introduction to the problem of spurious regressions in econometrics. This problem is traced historically from its origins (see Yule 1926). A definition of spurious correlation is given and the problem is INTRODUCTION 13 illustrated with simulations.
The first double-length artificial regression, or DLR, was proposed by Davidson and MacKinnon (1984a). We will refer to it as the DLR, even though it is no longer the only artificial regression with 2n observations. The class of models to which the DLR applies is a subclass of the one used for GMM estimation. Such models may be written as ft ( yt , θ) = ε t , t = 1, . . 47) where, as before, each ft (·) is a smooth function that depends on the data and on a k-vector of parameters θ. Here, however, the ft are assumed to be normally distributed conditional on the information sets Ωt , as well as being of mean zero, serially uncorrelated, and homoskedastic with variance 1.
A Companion to Theoretical Econometrics (Blackwell Companions to Contemporary Economics) by Badi H. Baltagi