陈松年.pdfVIP

1 Econometric Models I would like to discuss some issues involving nonnormality, heteroscedasticity and endogeneity in the context of three common econometric models: the linear regression model, the binary choice model and the sample selection model. I will first present the benchmark cases when these issues are not present. 1.1 The Linear Regression Model • Typically y is a continuous variable. • A typical regression setup: y = β + β x + β x + ...+ β x + ε 0 1 1 2 2