703 Lecture 15 - Res Ec 703: Econometrics Order of Topics...

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Unformatted text preview: Res Ec 703: Econometrics Order of Topics And Readings For Lecture 15, October 28, 2010 Source Pages Topic BM Pages 76-77: Summary (Cover these summary pages on your own.) BM 76 Summary of loss functions and statistical tests for the four estimators developed in class (as presented in the FHJ chapter) BM 77 Summary of methods for dealing with multicollinearity End Of Collinearity More Formal Treatment Of Heteroscedasticity Is The Next Topic BM 81 Revisit the last column the variance column. Lets make all of the numbers 1. This is called forcing unit variance. BM unnumbered Weighting observations 1-25 by 0.0364142; observation 26 by 0.125 GHJ 497-498 Forcing unit variance and how a model looks for stacked estimation (Helpful when doing Problem 15.4 in Assignment Number 6). GHJ 477-482 Overview: Problems with the error term due to cross-sectional and (Read) time effects GHJ Chapter 15 Heteroscedasticity (Heteroskedasticity): A nicely done chapter! (Read) BM 5-6 Revisit the simple world of homoscedasticity. BM 83 General Features of Heteroscedasticity: . Always expect it with cross-sectional data. . It results in biased standard errors of the regression coefficients. The regression coefficients themselves are not biased. . Wouldnt it be great if we could find a correction procedure that provides nice standard errors? BM 84 Two common tests for heteroscedasticity: . Goldfeld-Quandt (Its cousin is the Chow test). . Breusch-Pagan (Its big brother is Whites test) (If you have the Course Reader, this is to be inserted in place of blank BM page 84.) Assignment This assignment consists of six pages. All pages will be 6 distributed during class. It is due November ? Stochastic Restriction Attached: The Augmented Model (Notice That The Estimation Is Performed Using GLS) y o.BS X2 X3 X4 X5 Ko.N VAR1 1.0.1437 0..20.214 0..0.0.80.0. 0..1910.2 0..16476 0..0.0.1326 2 1.0.4189 0..0.6777 -0..0.6933 -0..0.850.7 0..16550. 0..0.0.1326 3 0..94724 0..15170. 0..50.0.0.0. 0..39427 0..11244 0..0.0.1326 4 1.11929 0..18523 -0..26655 0..0.5660. -0..0.940.3 0..0.0.1326 5 1.0.2450. 0..26681 0..21194 0..240.17 0..36438 0..0.0.1326 6 0..98779 0..22792 -0..10.118 -0..14333 0..11478 0..0.0.1326 7 1.0.8492 0..30.967 0..0.7140. 0..0.60.13 0..19468 0..0.0.1326 8 1.0.70.66 0..0.4486 0..0.6847 0..0.0.164 -0..140.91 0..0.0.1326 9 1.0.60.71 0..17140. -0..30.958 -0..19698 0..H888 0..0.0.1326 10. 0..97686 0..0.1790 -0..0.2438 -0..14138 0..15143 0..0.0.1326 11 0..97937 0..0.8233 0..0.4899 -0..0.2742 0..0.0.422 0..0.0.1326 12 1.140.63 0..31323 -0..0.2348 0..29473 0..40.114 0..0.0.1326 13 0..92482 0..0.8685 0..25795 0..23195 0..0.4451 0..0.0.1326 14 1.0.4155 0..21381 -0..0.6177 0..0.4281 0..34685 0..0.0.1326 15 1.0.30.88 0..31479 0..0.2489 0..16324 0..33148 0..0.0.1326 16 1.0.1212 0..0.5626 0..13323 0..11292 -0..0.0.666 0..0.0.1326 17 0..94793 0..0.8621 0..1350.1 0..0.8378 0..0.5962 0.. 0.0.1326 18 0..96915 0..16860. 0..44726 0..49212 0..24.930. 0..0.0.1326 0....
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703 Lecture 15 - Res Ec 703: Econometrics Order of Topics...

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