Econometrics
Publisher: Bookboon.com
Published: 2013
ISBN-13: 9788776812355
Table of contents: title: 1. Basics of probability and statistics; title: 1.1 Random variables and probability distributions; title: 1.1.1 Properties of probabilities; title: 1.1.2 The probability function – the discrete case; title: 1.1.3 The cumulative probability function – the discrete case; title: 1.1.4 The probability function – the continuous case; title: 1.1.5 The cumulative probability function – the continuous case; title: 1.2 The multivariate probability distribution function; title: 1.3 Characteristics of probability distributions; title: 1.3.1 Measures of central tendency; title: 1.3.2 Measures of dispersion; title: 1.3.3 Measures of linear relationship; title: 1.3.4 Skewness and kurtosis; title: 2. Basic probability distributions in econometrics; title: 2.1 The normal distribution; title: 2.2 The t-distribution; title: 2.3 The Chi-square distribution; title: 2.4 The F-distribution; title: 3. The simple regression model; title: 3.1 The population regression model; title: 3.1.1 The economic model; title: 3.1.2 The econometric model; title: 3.1.3 The assumptions of the simple regression model; title: 3.2 Estimation of population parameters; title: 3.2.1 The method of ordinary least squares; title: 3.2.2 Properties of the least squares estimator; title: 4. Statistical inference; title: 4.1 Hypothesis testing; title: 4.2 Confidence interval; title: 4.2.1 P-value in hypothesis testing; title: 4.3 Type I and type II errors; title: 4.4 The best linear predictor; title: 5. Model measures; title: 5.1 The coefficient of determination (R2); title: 5.2 The adjusted coefficient of determination (Adjusted R2); title: 5.3 The analysis of variance table (ANOVA); title: 6. The multiple regression model; title: 6.1 Partial marginal effects; title: 6.2 Estimation of partial regression coefficients; title: 6.3 The joint hypothesis test; title: 6.3.1 Testing a subset of coefficients; title: 6.3.2 Testing the regression equation; title: 7. Specification; title: 7.1 Choosing the functional form; title: 7.1.1 The linear specification; title: 7.1.2 The log-linear specification; title: 7.1.3 The linear-log specification; title: 7.1.4 The log-log specification; title: 7.2 Omission of a relevant variable; title: 7.3 Inclusion of an irrelevant variable; title: 7.4 Measurement errors; title: 8. Dummy variables; title: 8.1 Intercept dummy variables; title: 8.2 Slope dummy variables; title: 8.3 Qualitative variables with several categories; title: 8.4 Piecewise linear regression; title: 8.5 Test for structural differences; title: 9. Heteroskedasticity and diagnostics; title: 9.1 Consequences of using OLS; title: 9.2 Detecting heteroskedasticity; title: 9.2.1 Graphical methods; title: 9.2.2 Statistical tests; title: 9.3 Remedial measures; title: 9.3.1 Heteroskedasticity-robust standard errors; title: 10. Autocorrelation and diagnostics; title: 10.1 Definition and the nature of autocorrelation; title: 10.2 Consequences; title: 10.3 Detection of autocorrelation; title: 10.3.1 The Durbin Watson test; title: 10.3.2 The Durbins h test statistic; title: 10.3.3 The LM-test; title: 10.4 Remedial measures; title: 10.4.1 GLS with AR(1); title: 10.4.2 GLS with AR(2); title: 11. Multicollinearity and diagnostics; title: 11.1 Consequences; title: 11.2 Measuring the degree of multicollinearity; title: 11.3 Remedial measures; title: 12. Simultaneous equation models; title: 12.1 Introduction; title: 12.2 The structural and reduced form equation; title: 12.3 Identification; title: 12.3.1 The order condition of identification; title: 12.3.2 The rank condition of identification; title: 12.4 Estimation methods; title: 12.4.1 Indirect Least Squares (ILS); title: 12.4.2 Two Stage Least Squares (2SLS); title: A. Statistical tables; title: A1 Area below the standard normal distribution; title: A2 Right tail critical values for the t-distribution; title: A3 Right tail critical value of the Chi-Square distribution; title: A4 Right tail critical for the F-distribution: 5 percent level