Econometric methods by Jack Johnston, John Dinardo

By Jack Johnston, John Dinardo

A vintage textual content within the box, this re-creation includes a new co-author and gives a well-balanced and accomplished research of present econometric idea and perform for undergraduate or graduate examine. conventional subject matters are rigorously mixed with more recent concepts and developments. whereas the authors of this article suppose scholars have taken a easy direction in information, they supply an entire appendix on simple statistical concept if you happen to might have a refresher. moreover, the authors contain in an appendix a evaluation of all suitable subject matters in matrix algebra. comprises info disk.

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3 Reciprocal Wansformations Reciprocal transformations are useful in modeling situations where there are asymptotes for one or both variables. 13) ( Y - LY,)(X - (Y2) = 'yj This describes a rectangular hyperbola with asymptotes at Y = and X = a*. 3 Rectangular hyperbola 48 ECONOMETRIC METHODS The result of adding an error term to Eq. 14) and attempting to minimize the residual sum of squares gives equations that are nonlinear in the a’s. 5 However, there are two special cases of Eq. 14) where linearizing transformations are available.

25 Verify that the u’s have zero mean and zero covariance. Derive the sampling distribution of the estimator b =xXIY,/xX; Show that the expected value of the estimator is p , and compute the variance of the sampling distribution. (This problem comes from ‘‘A Simple Approach to Teaching Generalized Least Squares Theory,” by E. H. 10. The fixed values of X in a problem are as follows: CHAITER 1: Relationships between Two Variables 39 An econometrician with no calculator and an aversion to arithmetic proposes to estimate the slope of the linear relation between Y and X by 1 - YZ - y1) g ( Y 6 -k y5 .

3b. 23 The dependent variable and the sample time span are indicated at the top of the table. Then follows the estimated intercept (coefficient on the C variable) and the estimated coefficient on the regressor PRICE. or cX2). with their standard errors and the t statistics for testing the hypothesis that the true \-slue of each coefficient is zero. Adjusted R-squared will be explained in Chapter 3. E. ofregression is the square root of the statistic defined in Eq. 31), and Sum squared resid is the residual sum of squares (RSS).

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