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703 Lecture 11 - Res Ec 703 Econometrics Order of Topics...

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 11, October 14, 2010 Source Pages Topic Material Not Covered Last Class BM 59-mid 62 Case 2 RLS estimator BM mid 62-63 Graphical development of the tradeoff between the reduction in variance and the increase in bias BM 64-69 The appropriate hypotheses, test statistic, and decision rule to use when testing for trade-offs between variance and bias (Pages 64-66 are tough. Pages 67-69 are the application). New Material BM Unnumbered Review of formulas for OLS and GLS estimators (Handwritten) Apply this to the model at bottom of BM p.70 and top of BM p.71. BM 70 Converting an exact restriction to a stochastic restriction BM 71 . Form used to estimate a model with a stochastic restriction. . Form used to compare this new estimator with either the OLS estimator or the exact RLS estimator. BM 72 Example: Implementing a stochastic restriction; addressing the expected value and variance of the restriction’s error BM 73-74 GLS and stochastic restrictions: . Exact form of omega-hat for estimation by GLS. . Note how we get elements on the main diagonal of omega-hat . Note the dimension of the main diagonal.
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