By Takeshi Amemiya
Complex Econometrics is either a complete textual content for graduate scholars and a reference paintings for econometricians. it is going to even be worthwhile to these doing statistical research within the different social sciences. Its major good points are a radical remedy of cross-section types, together with qualitative reaction versions, censored and truncated regression versions, and Markov and period types, in addition to a rigorous presentation of huge pattern conception, classical least-squares and generalized least-squares conception, and nonlinear simultaneous equation types. even if the therapy is mathematically rigorous, the writer has hired the theorem-proof technique with easy, intuitively obtainable assumptions. this permits readers to appreciate the fundamental constitution of every theorem and to generalize it for themselves looking on their wishes and talents. many straightforward functions of theorems are given both within the type of examples within the textual content or as routines on the finish of every bankruptcy so that it will reveal their crucial issues.
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Additional resources for Advanced Econometrics
12 as a standard linear hypothesis on Model 1 with normality by putting T = TI + T 2 , K = 2K*, q = K*, Q' = (I, -I), and c = O. 12) yields the test statistic = (T. + T2 - 2K*) (P. 26). 25) we combined Eqs. 28) X [(X~Xlrl - (XIX 1 + X2X2)-1 -(XiX. 27), that is, SOl) = y'[1 - X(X'Xr1X'ly. 9) we haveS 0] . 7 We want to test the null hypothesis PI = P2 assuming O'~ = O'~== 0'2) in the present section and O'~ =1= O'~ in the next section. This test is especially important in econometric time series because the econometrician often suspects the occurrence of a structural change from one era to another (say, from the prewar era to the postwar era), a change that manifests itselfin the regression parameters.
We shall discuss the t test, the F test, and a test of structural change (a special case of the F test). The t Test The t test is an ideal test to use when we have a single constraint, that is, q = 1. The F test, which will be discussed in the next section, will be used if q > 1. Because is normal, as shown in Eq. 2) This is the test statistic one would use if q were known. As we have shown in Eq. 7), we have il/il -q2- X 2T-K' - ;'-4R'X'XQ(;'-lQ'X / XQ + Q/QQ'Q)-'Q'X'XR. ,bypothesis (that is, if Q I fJ = c).
An alternative way to interpret this estimator as a Bayes estimator is given in Theil (1971, p. 670). 11): The latter is obtained as the limit of the former, taking;'2 to infinity. 1). We shall demonstrate this below. 29) ;'-lQ'X/XR] ;'-2R'X'XR . 1) as a testable hypothesis, calling it the null hypothesis. Throughout the section we shall assume Modell with normality because the distributions of the commonly used test statistics are derived under the assumption of normality. We shall discuss the t test, the F test, and a test of structural change (a special case of the F test).