复旦管理学院考博资料——计量经济学Lecture 7.pptVIP

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复旦管理学院考博资料——计量经济学Lecture 7.ppt

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Econometrics (I)Lecture 7 Autocorrelation and Regression with Time Series Data;Serially Correlated Disturbances;Sources of Serial Correlation;The Lag Operator;First-order Autocorrelation: AR(1);First-order Autocorrelation: AR(1);First-order Moving Average: MA(1);First-order Moving Average: MA(1);Relations between AR and MA;Consequences of Autocorrelation;Detecting Autocorrelation;Detecting Autocorrelation;Detecting Autocorrelation;Correcting OLS Standard Errors;GLS Estimation;GLS Estimation;FGLS Estimation ;Antidumping Filings and Chemical Imports;Antidumping Filings and Chemical Imports;Regression with Time Series Data;OLS Assumptions and Properties;OLS Assumptions and Properties;OLS Assumptions and Properties;Effects of Personal Tax Exemption on Fertility Rates;Regression result Result with a FDL model Multicollinearity between pet, pet-1 and pet-2 makes it hard to estimate the individual effect However, the three variables are jointly significant. The estimated LRP = 0.101, but is it statistically significant?;Effects of Personal Tax Exemption on Fertility Rates;Trending Variables in OLS Regression;;Trending Variables in OLS Regression;Stationary Time Series;Covariance Stationary Process;Weakly Dependent Time Series;Asymptotic Properties of OLS with Time Series Data;Examples;HAC Standard Errors and FGLS Revisited;Highly Persistent (Strongly Dependent) Time Series;;Highly Persistent (Strongly Dependent) Time Series;;Highly Persistent (Strongly Dependent) Time Series;Spurious Regression Revisited;Highly Persistent (Strongly Dependent) Time Series;;Highly Persistent (Strongly Dependent) Time Series;dsfdbsy384y982ythb3oibt4oy39y409705923y09y53b2lkboi2y58wy0ehtoibwoify98wy049ywh4b3oiut89u983yf9ivh98y98sv98hv98ys9f698y9v698yv98x98tb98fyd98gyd98h98ds98nt98d8genklgb4klebtlkb5k tkeirh893y89ey698vhkrne lkhgi8eyokbnkdhf98hodf hxvy78fd678t9fdu90gys98y9shihixyv78dfhvifndovhf9f8yv9onvkobkw kjfegiudsfdbsy384y982ythb3oibt4oy39y409705923y09y53b2lkboi2y58wy0ehtoibwoify98wy049