ApplicationsoftheGeneralizedRegressionModel幻灯片.pptVIP

Applied Econometrics;Applied Econometrics;Two Step Estimation of the Generalized Regression Model;General Result for Estimation When ? Is Estimated ;FGLS;FGLS vs. Full GLS;Heteroscedasticity;GR Model and Testing;Inference Based on OLS ;Estimation: WLS form of GLS;Autocorrelation;The AR(1) Model;Building the Model;Model Misspecification;Implications for Least Squares;GLS and FGLS;Testing for Autocorrelation;Time Series Regression;Consumption “Function”;Least Squares Residuals;Newey-West;FGLS;Applied Econometrics;Applied Econometrics;Panel Data Sets;Terms of Art;Panel Data;Nested Panel Data;Balanced and Unbalanced Panels;Benefits of Panel Data;Fixed and Random Effects;Convenient Notation;Assumptions for Asymptotics;The Pooled Regression;Cornwell and Rupert Data;Application: Cornell and Rupert;Using First Differences;OLS with First Differences;Two Periods;Application of a Two Period Model;QOL Study;Regression-Treatment Effects Model;Effects and Covariates;First Differences Model;Dealing with Attrition;Estimation with Fixed Effects;Assumptions for the FE Model;Useful Analysis of Variance Notation;WHO Data;Baltagi and Griffin’s Gasoline Data;Analysis of Variance;Analysis of Variance;Estimating the Fixed Effects Model;Fixed Effects Estimator (cont.);The Within Transformation Removes the Effects