INSEAD Library

Includes bibliographical references and index

Digitized

Econometric Theory Contents CHAPTER 1 INTRODUCTION PAGE 1 1. The Scope of Econometrics ............................................................. 1 2. Relationships among Economic Variables ....................................... 2 3. The Plan of This Book ..................................................................... 5 2 BASIC CONCEPTS OF MATRIX ALGEBRA 6 1. 2. 3. 4. 5. 6. 7. 8. Introduction ................................................................................... 6 Vectors and Matrices....................................................................... 7 Determinants ................................................................................. 15 Linear Dependence, Rank, and Homogeneous Equation Systems.................................................................................... 17 The Inverse Matrix and Square Equation Systems ......................... 23 Characteristic Roots, Diagonalization of a Symmetric Matrix, Orthogonal and Idempotent Matrices, and Forms ............... 28 Definite Matrices............................................................................ 34 Differential Calculus in Matrix Notation ........................................ 39 3 BASIC CONCEPTS OF STATISTICAL INFERENCE 49 1. 2. 3. 4. 5. 6. Introduction .................................................................................. 49 Empirical Frequency Distributions ................................................ 50 Random Variables and Probability Distributions ........................... 63 Sampling Theory .......................................................................... 87 Normal Distribution and Associated Distributions......................... 102 Asymptotic Distribution Theory.................................................... 115 7. Statistical Inference ..................................................................... 125 8. Stochastic Processes ................................................................... 142 4 CLASSICAL LINEAR REGRESSION 156 156 157 161 163 167 171 172 178 182 192 201 I. Introduction ................................................................................ 2. Descriptive Linear Regression ..................................................... 3. Classical Linear Regression Model .............................................. 4. Statistical Inference in Classical Linear Regression: Basic Results ................................................................................. 5. Statistical Inference in Classical Linear Regression: Further Results ................................................................................. 6. Classical Normal Linear Regression Model .................................. 7. Statistical Inference in Classical Normal Linear Regression: Basic Results ........................................................................ 8. Statistical Inference in Classical Normal Linear Regression: Further Results .................................................................... 9. Computational Procedure in Linear Regression .......................... 10. Special Problems in Linear Regression ...................................... 11. Sets of Linear Regression Relations ........................................... 5 EXTENSIONS OF LINEAR REGRESSION 213 1. Introduction ............................................................................... 213 2. Functional Forms ....................................................................... 213 3. Analysis of Variance ................................................................... 227 4. Nonspherical Disturbances ......................................................... 231 5. Qualitative and Limited Dependent Variables ............................. 248 6. Use of Extraneous Information ................................................... 255 6 LINEAR REGRESSION WITH STOCHASTIC REGRESSORS 266 1. Introduction ............................................................................... 266 2. Independent Stochastic Linear Regression .................................. 267 3. Autoregressive Linear Regression ................................................ 272 4. Contemporaneously Uncorrelated Linear Regression ................... 278 5. General Stochastic Linear Regression ......................................... 282 7 SYSTEMS OF SIMULTANEOUS LINEAR RELATIONSHIPS 288 1. Introduction ............................................................................... 288 2. Illustrative Simultaneous Equation Systems ............................... 288 3. Simultaneous Linear Structural Equation Model ........................... 294 4. Identification ................................................................................ 306 5. Reduced-Form Estimation and Indirect Least Squares ................. 318 6. Structurel Estimation: Single-Equation Methods.......................... 329 7. Structural Estimation: System Methods ....................................... 346 8. Comparison of Alternative Structural Estimation Methods ........... 357 9. Applications of Structural Econometric Models ........................... 364 10. Formulation and Interpretation of Econometric Models ............. 380 389 393 BIBLIOGRAPHY INDEX