dummy variables for changes in the intercept

term
dummy variables for changes in the slope
coefficents
dummy variables for cross-equation constants
dummy variables for testing stability of
regression coefficients

Dummy Variables Truncated Variables

dummy variables under heteroskadasticity and

autocorrelation

What is Econometrics?

What is Econometrics?

dummy dependent variables

Economic Model and econometric Models

Aims and methodology of econometrics

the linear probability model and the linear

discriminant function

probability

the probit and logic models

random variables and probability distributions

truncated variables: the tobit model

normal probability distribution and related

distributions

endogenous and exogenous variables

classical statistical inference

the identification problem : identification

through reduced form

Statistical Background Matrix Algebra

necessary and sufficient conditions for

identification

properties of estimators
sampling distributions for samples from a
normal population
interval estimation

methods of estimation : the instrumental

variables method

testing hypotheses

Simultaneous Equations Models

method of estimation : the two-stage least

squares method

relationship between confidence interval

procedures and tests of hypothesises

the question of normalization

specification of the relationships

the limited-information maximum likelihood

model

the method of moments

on the use of OLS in the estimation of

simultaneous-equations models

method of least squares

statistical inference in the linear regression
model

exogeneity and causality

analysis of variance for the simple regression

model

naive models of expectations

Simple Regression

the adaptive expectations model

estimation with the adaptive expectations
models

prediction with the simple regression model

outliers

Setting a firm foundations for study

expectational variables and adjustment lags

partial adjustment with adaptive expectations
alternative distributed lag models : polynomial
lags

alternative function in the least squares

regression model

Mastering a professional level in econometrics

10) Models of Expectations

rational lags

TARGET

inverse prediction in the least squares

regression model

Becoming a my killing time hobby

customizing to think as econometrical
thinking

stochastic regressors
the regression fallacy

rational expectations
model with two explanatory variables

tests for rationality

statistical inference in the multiple regression

model

estimation of a demand and supply model

under rational expectations

interpretation of the regression coefficients

the serial correlation problem in rational

expectations models

partial correlations and multiple correlation

classical solution for a single-equation model

the single-equation model with two
explanatory variables
reverse regression

11) Error in Variables

EconometricsMaddala

Multiple Regression

omission of relevant variables and inclusion of

irrelevant variables
degree of freedom and R2

proxy variables

tests for stability

some other problems

the LR, W, and LM tests

diagnostic tests based on least squares residuals

detection of heteroskedasticity

problems with the least squares residuals

consequences of heteroskedasticity

some other types of residuals

Heteroskedasticity

DFFITS and Bound Influence Estimation

selection of regressors

prediction in the multiple regression model

analysis variance and tests of hypothesises

instrumental variable models

model selection

relationships among simple, partial, and

multiple correlation coefficients

12) Diagnostic Checking, Model Selection, and

Specification Testing

solutions to the heteroskedasticity problem

heteroskedasticity and the use of deflators
testing the linear versus long-linear functional
form

implied F-Ratios for the various criteria

Durbin-Watson Test

cross-validation

estimation in the levels versus first differences

Hausman's specification errors test

estimation procedures with autocorrelated

error

Plosser-Schwert-White differencing test

test for nonnested hypotheses

effect of AR(1) errors on OLS estimates

some further comments on the DW test

two methods of time-series analysis:frequency

domain and time domain

Autocorrelation

stationary and nonstationary time series

some useful models for time series
estimation of AR, MA, and ARMA modelss

tests of serial correlation in the models with

lagged dependent variables
a general test the the higher-order serial
correlation : LM test

13) Time-Series Analysis

strategies when the DW test statistic is

significant

Box-Jenkins approach

trend and random walks

R2 measures in time-series models

ARCH models and serial correlation

vetor autoregressions
problems with VAR models in practice

some illustrative examples

unit roots
unit roots tests
cointergration
the cointergrating regression
vector autoregression and cointergration
cointergration and error correction models
tests for cointergration
cointergration and testing of the REH and MEH

some measures of multicollinearity

14) Vector Autoregressions, Unit Roots, and
Cointegration

problems with measuring muticolinearity

Multicollinearity

solutions to the multicolliearity problem :

Ridge regression
principal component regression
dropping variables
miscellaneous other solutions