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703 Lecture 13 - restriction’s error on the estimation...

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 13, October 21, 2010 Source Pages Topic Material Not Covered Two Classes Ago 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. New Material BM 75 Effect of the magnitude of the variance of the stochastic
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Unformatted text preview: restriction’s error on the estimation results. Mathematics involved with issues presented on page 75 is very tedious. The major points will be demonstrated by way of a complete example using the Longley data, and you are going to do it in Assignment 5! (I have three handwritten pages on the tedious mathematics, if you are interested.) Assignment Two Exact RLS vs Stochastic RLS; Testing for MSE Improvement 5 Pages Due Date: October 28, 2010) BM Unnumbered Caution when using NOINT in SAS. “Model” and “Total” sums of (Typed) squares information is uncorrected for the mean and is not comparable to a sum of squares table that does not use NOINT. “Error” sum of squares between the two is comparable....
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