» Econometrics
Host: www.istfin.eco.unisi.ch
Conditional Moment Restrictions" Journal
of Econometrics 34 305-334. ... cesses"
Chapter 45 in Handbook of Econometrics
Volume IV R. Engle and ...
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Econometrics
Source: venus.unive.it
Topic: Econometrics
Sort Desciption: The objective of the course is to introduce modern econometric. theory and practical econometric methods with particular attention to regression models. ...
Content Inside: Revised: 4.9.2006 M. Billio Econometrics Syllabus Information at a glance Course: Econometrics Web Sites: <http://venus.unive.it/billio> Professors: Monica Billio (email: billio@unive.it) Giacomo Pasini (email: giacomo.pasini@unive.it) Office Hours: After classes or by appointment Purpose of course. The objective of the course is to introduce modern econometric theory and practical econometric methods with particular attention to regression models. More in detail: Regression Models Introduction The Specification of Regression Models Method-of-Moments Estimation The Geometry of Linear Regression The Geometry of OLS Estimation The Frisch-Waugh-Lovell Theorem Applications of the FWL Theorem The Statistical Properties of Ordinary Least Squares Unbiasedness Consistency The Covariance Matrix of the OLS Parameter Estimates Efficiency Residuals and Error Terms Misspecification of Linear Regression Models Measures of Goodness of Fit Hypothesis Testing in Linear Regression Models Exact Tests in the Classical Normal Linear Model Large-Sample Tests in Linear Regression Models Simulation-Based Tests The Power of Hypothesis Tests Confidence Intervals Exact and Asymptotic Confidence Intervals Bootstrap Confidence Intervals Confidence Regions Heteroskedasticity-Consistent Covariance Matrices The Delta Method Nonlinear Regression Method-of-Moments Estimators for Nonlinear Models Nonlinear Least Squares Computing NLS Estimates The Gauss-Newton Regression Hypothesis Testing Heteroskedasticity-Robust Tests Generalized Least Squares and Related Topics The GLS Estimator Feasible Generalized Least Squares Heteroskedasticity Autoregressive and Moving-Average Processes Testing for Serial Correlation Estimating Models with Autoregressive Errors Specification Testing and Serial Correlation Models for Panel Data Instrumental Variables Estimation Correlation Between Error Terms and Regressors Instrumental Variables Estimation Finite-Samp ...
geometry of ols, fwl theorem ols estimators
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Host: www.msu.edu
Financial econometrics is an active field
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