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703 Lecture 9 - BKW 110-111 Belsley Kuh and Welsch example...

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 9, October 5, 2010 Source Pages Topic Exam 1 Date for Exam 1: October 7, 2010 Is it possible to change the starting time of the exam from 6:00 p.m. to 7:00 p.m.? Material Not Covered Last Class In The 11-Page Handout Handout BM pages 73-77 Mathematical derivation of eigenvectors and eigenvalues. (Old version of (Read these pages on your own. 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 Six-Page Handout Distributed Last Class But Not Covered BM Unnumbered Variance Inflation Factor (VIF) and how it relates to the auxiliary (Two Pages) regression R-square. (Cover this on your own.)
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Unformatted text preview: BKW 110-111 Belsley, Kuh, and Welsch example on variance- (One page) decomposition proportions 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) New Topic: Restricted Least Squares BM Unnumbered Components of the loss function for each of three estimators. These (Two pages) pages illustrate the trade-off between variance and bias squared. (These two pages were the last two pages of the six-page handout directly above.). BM 50-51 Distinction: Exact restrictions that are true: The Case 1 RLS Estimator Exact restrictions that are untrue: The Case 2 RLS Estimator BM 51-52 Summary of the major features of the Case 1 RLS estimator BM 52-56 Deriving the estimator associated with restrictions that are exact and true. These pages are tedious because of the mathematics....
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