back start
[start] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [28] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [71] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81] [82] [83] [84] [85] [86] [87] [88] [89] [90] [91] [92] [93] [94] [95] [96] [97] [98] [99] [100] [101] [102] [103] [104] [105] [106] [107] [108] [109] [110] [111] [112] [113] [114] [115] [116] [117] [118] [119] [120] [121] [122] [123] [124] [125] [126] [127] [128] [129] [130] [131] [132] [133] [134] [135] [136] [137] [138] [139] [140] [141] [142] [143] [144] [145] [146] [147] [148] [149] [150] [151] [152] [153] [154] [155] [156] [157] [158] [159] [160] [161] [162] [163] [164] [165] [166] [167] [168] [169] [170] [171] [172] [173] [174] [175] [176] [177] [178] [179] [180] [181] [182] [183] [184] [185] [186] [187] [188] [189] [190] [191] [192] [193] [194] [195] [196] [197] [198] [199] [200] [201] [202] [203] [204] [205] [206] [207] [208] [209] [210] [211] [ 212 ]
212 recursive residuals, 483 studentized residuals, 482 Reverse regression, 71-72, 459-461 Ridge regression, 281-283 /-square in dummy dependent variable models, 332-334 in multiple regression models, 131 relationship with F-ratios, 167-168 in simultaneous equation models, 369 in time-series models, 550 Sampling distributions multiple regression, 134-135 from normal populations, 26 simple regression, 76-78 Sargans test, 255 Selection of regressors, 496-502 Serial correlation in autoregressive models, 248 LM test, 250 in rational expectations models, 443-444 in unit root tests, 583 Significance levels criticism, 32 defined, 29 Sims test, 394 Specification errors Hausmans test, 506-509 irrelevant variables, 164-165 omitted variables, 161-162 Ramseys test, 478 Sargans test in dynamic models, 255 Specification searches, 491 Spurious trends, 260-261 Stationary time-series, 527-530 Stochastic regressors, 126 Structural change and unit roots, 587 /-distribution, 21 Tests of hypotheses for cointegration, 598 general theory, 29-32 for linear functions of parameters, 159 in linear regression models, 80, 158-160 for market efficiency, 599-600 nonnested hypotheses, 514-518 for rational expectations hypothesis, 599 for unit roots, 583-587 Theils R criterion, 497 Time series ARIMA models. 538-541 autoregressive, 533 Box-Jenkins methods, 542-549 forecasting, 544 moving average, 531 R measures, 550-552 stationarity, 527-530 Trace of a matrix, 55 Trends and random walks, 258-261 Truncated variables criticism of the tobit model, 341 tobit model, 338-342 truncated regression model, 342-343 TSP model, 259 Two-stage least squares, 373 Unbiasedness defined, 23 least squares estimators, 114 under stochastic regressors, 126 Underestimation of standard errors under autocorrelation, 241-243 under heteroskedasticity, 210-211 Unit root tests Dickey-Fuller test, 583 powers of unit root tests, 584 serial correlation, 583 structural change, 587 Unit roots, 581-582 Variance inflation factor (VIF), 274 Vector autoregressions, 578-580 Vector autoregressions and cointegration, 592-597 von Neumann ratio, 245 Wald test, 121-124, 256 Weighted least squares, 212-213 Whites test, 204 Workings concept of identification, 385
[start] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [28] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [71] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81] [82] [83] [84] [85] [86] [87] [88] [89] [90] [91] [92] [93] [94] [95] [96] [97] [98] [99] [100] [101] [102] [103] [104] [105] [106] [107] [108] [109] [110] [111] [112] [113] [114] [115] [116] [117] [118] [119] [120] [121] [122] [123] [124] [125] [126] [127] [128] [129] [130] [131] [132] [133] [134] [135] [136] [137] [138] [139] [140] [141] [142] [143] [144] [145] [146] [147] [148] [149] [150] [151] [152] [153] [154] [155] [156] [157] [158] [159] [160] [161] [162] [163] [164] [165] [166] [167] [168] [169] [170] [171] [172] [173] [174] [175] [176] [177] [178] [179] [180] [181] [182] [183] [184] [185] [186] [187] [188] [189] [190] [191] [192] [193] [194] [195] [196] [197] [198] [199] [200] [201] [202] [203] [204] [205] [206] [207] [208] [209] [210] [211] [ 212 ]
|
|