By Badi H. Baltagi
A significant other to Theoretical Econometrics presents a entire connection with the fundamentals of econometrics. This significant other specializes in the rules of the sphere and whilst integrates renowned subject matters usually encountered by means of practitioners. The chapters are written by means of overseas specialists and supply up to date examine in components now not frequently coated through common econometric texts.
- Focuses at the foundations of econometrics.
- Integrates real-world issues encountered by means of pros and practitioners.
- Draws on updated learn in parts no longer lined by way of commonplace econometrics texts.
- Organized to supply transparent, obtainable details and aspect to extra readings.
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Extra info for A Companion to Theoretical Econometrics
If an artificial regression exists for such a model, it always involves two things: a regressand, r(θ), and a matrix of regressors, R(θ). The number of regressors for the artificial regression is equal to k, the number of parameters. The number of “observations” for the artificial regression is often equal to n, but it may also be equal to a small integer, such as 2 or 3, times n. 1) where b is a k-vector of coefficients. “Residuals” is used here as a neutral term to avoid any implication that (1) is a statistical model.
1993). On testing the logistic assumption in binary dependent variable models. Empirical Economics 18, 381–92. White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817–38. M. (1990). A unified approach to robust, regression-based specification tests. Econometric Theory 6, 17–43. M. (1991). On the application of robust, regression-based diagnostics to models of conditional means and conditional variances. Journal of Econometrics 47, 5–46.
K, where Zti is the tith component of Zt , ft ≡ f (Zt S) and Ft ≡ F(Zt S). 51). The easiest is to rewrite it in the form of the nonlinear regression model yt = F(Zt β) + ut. 54) The error term ut here is evidently nonnormal and heteroskedastic. Because yt is like a Bernoulli trial with probability p given by F(Zt β), and the variance of a Bernoulli trial is p(1 − p), the variance of ut is νt(β) ≡ F(Zt β)(1 − F(Zt β)). 54) would be yt − F(Zt β) = f(Zt β)Ztb + residual, but the ordinary GNR is not appropriate because of the heteroskedasticity of the ut.
A Companion to Theoretical Econometrics by Badi H. Baltagi