725_final exam guide_2010

725_final exam guide_2010 - Properties of OLS....

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STUDY GUIDE (1) Coverage: • Mostly on the topics covered after the mid-term exam. You would not have to study the coverage of the mid-term exam deeply, AS LONG AS YOU REMEMBER OLS FORMULAS, T-TESTS, AND F-TEST.
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Major topics to study 1) WIC and nonlinear restriction tests. Properties of OLS Cases violating WIC. Review the asymptotic theories: LLN, CLT and Taylor approximations. 2) Model selection, omitted variables problems, etc. How do you choose regressors? Regressions with omitted regressors or with unimportant regressors. 3) Dummy variables You can allow intercepts and/or coefficients to vary over different groups.
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4) Multicollinearity Symptoms and treatments. 5) Non-Spherical Errors and GLS Issues, properties of OLS and GLS. Heteroskedasticity
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Unformatted text preview: Properties of OLS. White-corrected OLS covariance matrix. White-test, BP-test, Koenker test. GLS. Autocorrelation Properties of OLS. Newey-West-corrected OLS covariance matrix. DW test, LM test. AR(1), MA(1), FGLS, NLLS. 6) Nonlinear Models NLLS. J-test. 7) Endogenous regressors and instrumental variables Properties of OLS. Instrumental variables. IV and 2SLS. Hausman test and Ahn test. (2) How to prepare for the exam? Do EXERCISE 2. Review all questions in Assignments 3 and 4. Read class notes and the textbooks. (3) Office Hour Tuesday (May 4): 11:00am - 12:30pm (4) Exam: Thursday (May 6), from 7:30am to 9:20am. 35% of your grade. Can use your hand-written notes and (only) a book of your choice....
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This note was uploaded on 11/19/2010 for the course ECON 270a taught by Professor Ahn during the Spring '10 term at ASU.

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725_final exam guide_2010 - Properties of OLS....

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