A Companion to Theoretical Econometrics (Blackwell - download pdf or read online

By Badi H. Baltagi

ISBN-10: 047099830X

ISBN-13: 9780470998304

ISBN-10: 063121254X

ISBN-13: 9780631212546

ISBN-10: 140510676X

ISBN-13: 9781405106764

ISBN-10: 1405142073

ISBN-13: 9781405142076

A significant other to Theoretical Econometrics offers a complete connection with the fundamentals of econometrics. This spouse makes a speciality of the principles of the sector and whilst integrates well known subject matters frequently encountered by means of practitioners. The chapters are written via overseas specialists and supply up to date examine in parts no longer frequently coated via commonplace econometric texts. specializes in the principles of econometrics. Integrates real-world themes encountered through execs and practitioners. attracts on up to date learn in components no longer lined by way of typical econometrics texts. geared up to supply transparent, obtainable info and element to additional readings.

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By Badi H. Baltagi

ISBN-10: 047099830X

ISBN-13: 9780470998304

ISBN-10: 063121254X

ISBN-13: 9780631212546

ISBN-10: 140510676X

ISBN-13: 9781405106764

ISBN-10: 1405142073

ISBN-13: 9781405142076

A significant other to Theoretical Econometrics offers a complete connection with the fundamentals of econometrics. This spouse makes a speciality of the principles of the sector and whilst integrates well known subject matters frequently encountered by means of practitioners. The chapters are written via overseas specialists and supply up to date examine in parts no longer frequently coated via commonplace econometric texts. specializes in the principles of econometrics. Integrates real-world themes encountered through execs and practitioners. attracts on up to date learn in components no longer lined by way of typical econometrics texts. geared up to supply transparent, obtainable info and element to additional readings.

Show description

Read Online or Download A Companion to Theoretical Econometrics (Blackwell Companions to Contemporary Economics) PDF

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Additional info for A Companion to Theoretical Econometrics (Blackwell Companions to Contemporary Economics)

Sample text

Artificial regressions other than the GNR allow these methods to be used more widely than just in the least squares context. 5 HYPOTHESIS TESTING WITH ARTIFICIAL REGRESSIONS Artificial regressions like the GNR are probably employed most frequently for hypothesis testing. Suppose we wish to test a set of r equality restrictions on θ. Without loss of generality, we can assume that these are zero restrictions. This allows us to partition θ into two subvectors, θ1 of length k − r, and θ2 of length r, the restrictions being that θ2 = 0.

G. MacKinnon (1993).

The regressand and regressors in (1) can be evaluated at any point θ ʦ Θ, and the properties of the artificial regression will depend on the point at which they are evaluated. In many cases, we will want to evaluate (1) at a vector of estimates Q that is root-n consistent. This means that, if the true parameter vector is θ0 ʦ Θ, then Q approaches θ0 at a rate proportional to n−1/2. One such vector that is of particular interest is P, the vector of estimates which minimizes the criterion function Q(θ).

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A Companion to Theoretical Econometrics (Blackwell Companions to Contemporary Economics) by Badi H. Baltagi


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