703 Lecture 8 - I will not test you on derivations Course...

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 8 (September 30, 2010) Source Page(s) Topics Exam 1 Date for Exam 1: October 7, 2010: Thursday, 6:00 p.m. Material Not Covered Last Class BM 48-50 Multicollinearity: Background and Pictorial Representation Today’s Material: The 11-Page Handout Dealing With Collinearity Handout BM single page Ways To Detect And Ways To Deal With Multicollinearity Handout GHJ Computer Handbook pages 165-6 Handout Greene Condition Number/Condition Index Handout BM Page 72 Visual interpretation of principal components (Embedded (Old version of in this is the meaning of an eigenvector and an eigenvalue. Course Reader) Eigenvalues are important for assessing the severity of collinearity). Handout BM pages 73-77 Mathematical derivation of eigenvectors and eigenvalues. (Old version of (Read these pages on your own.
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Unformatted text preview: I will not test you on derivations.) Course Reader) Handout SAS manual Condensed to one photocopied page; summarizes important (PROC REG) collinearity diagnostics: eigenvalues; condition indexes; Pages 1416-1418 condition number; variance inflation factors; collinearity diagnostics table. End Of Material In The 11-Page Handout Material Distributed Today BM Unnumbered Variance Inflation Factor (VIF) and how it relates to the auxiliary (Two Pages) regression R-square. (To be distributed during class) BKW 110-111 Belsley, Kuh, and Welsch example on variance- (One page) decomposition proportions (To be distributed during class) Judge, Unnumbered Collinearity diagnostics on the Klein model. et al. (One page) (Example taken from pages 871-874 of Introduction to the Theory and Practice of Econometrics) (To be distributed during class)...
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