Introductory Econometrics

1 The General Linear Model I.- 1.1 Introduction.- 1.2 Model Specification and Estimation.- 1.3 Goodness of Fit.- Questions and Problems.- 2 The General Linear Model II.- 2.1 Generalities.- 2.2 Distribution of the Estimator of ?.- 2.3 General Linear Restriction: Estimation and Tests.- 2.4 Mixed Estimators and the Bayesian Approach.- Questions and Problems.- 3 The General Linear Model III.- 3.1 Generalities.- 3.2 Violation of Standard Error Process Assumptions.- Questions and Problems.- 4 The General Linear Model IV.- 4.1 Multicollinearity: Failure of the Rank Condition.- 4.2 Analysis of Variance: Categorical Explanatory Variables.- 4.3 Analysis of Covariance: Some Categorical and Some Continuous Explanatory Variables.- 5 Misspecification Analysis and Errors in Variables.- 5.1 Introduction.- 5.2 Misspecification Analysis.- 5.3 Errors in Variables (EIV): Bivariate Model.- 5.4 Errors in Variables (EIV): General Model.- 5.5 Misspecification Error Analysis for EIV Models.- Questions and Problems.- 6 Systems of Simultaneous Equations.- 6.1 Introduction.- 6.2 The Simultaneous Equations Model (SEM): Definitions, Conventions, and Notation.- 6.3 The Identification Problem.- 6.4 Estimation of the GLSEM.- 6.5 Prediction from the GLSEM.- 6.6 The GLSEM and Undersized Samples.- 6.7 Maximum Likelihood (ML) Estimators.- Questions and Problems.- 7 Discrete Choice Models: Logit and Probit Analysis.- 7.1 Introduction.- 7.2 The Nature of Discrete Choice Models.- 7.3 Formulation of Dichotomous Choice Models.- 7.4 A Behavioral Justification for the Dichotomous Choice Model.- 7.5 Inapplicability of OLS Procedures 3.- 7.6 Maximum Likelihood Estimation.- 7.7 Inference for Discrete Choice Models.- 7.8 Polytomous Choice Models.- 8 Statistical and Probabilistic Background.- 8.1 Multivariate Densityand Distribution Functions.- 8.2 The Multivariate Normal Distribution.- 8.3 Point Estimation.- 8.4 Elements of Bayesian Inference.- Questions and Problems.- Tables for Testing Hypotheses on the Autoregressive Structure of the Errors in a GLM.- References.