AsymptoticsfortheLeastSquaresEstimatorintheClassicalRegressionModel幻灯片.pptVIP

Applied Econometrics;Applied Econometrics;Setting;Well Behaved Regressors;Probability Limit;Mean Square Convergence;Probability Limit;Crucial Assumption of the Model;Consistency of s2;Asymptotic Distribution;Limiting Normality;Asymptotic Distribution;Asymptotic Properties;Root n Consistency;Asymptotic Results;Test Statistics;Wald Statistics;Extensions;Full Rank Quadratic form;Proof of Full Rank Q-F Result;Building the Wald Statistic-1;Building the Wald Statistic-2;General Result for Wald Distance;The F Statistic;F Statistic;Hypothesis Test;Application: Wald Tests;Data Setup;Regression Model;Least Squares Results;Covariance Matrix;Linear Hypothesis;Wald Test;Let the Program Do It;Restricted Regression – Compare Sums of Squares;Restricted Regression;Nonlinear Restrictions;Setting Up the Wald Statistic;Wald Statistics;Wald Test;Application of the Wald Statistic;Computations;Noninvariance of the Wald Test;Applied Econometrics;Applied Econometrics;Instrumental Variables;IV Estimators;LS as an IV Estimator;IV Estimation;A Popular Misconception;The General Result;Asymptotic Covariance Matrix of bIV;Asymptotic Efficiency;Two Stage Least Squares;Choosing the Instruments;Algebraic Equivalence;2SLS Algebra;Asymptotic Covariance Matrix for 2SLS;2SLS Has Larger Variance than LS;Estimating σ2;Measurement Error;Why Is Least Squares Attenuated?;Measurement Error in Multiple Regression;Twins;Orthodoxy