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703 Lecture 17

# 703 Lecture 17 - Res Ec 703 Econometrics Order o f Topics...

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 17, November 4, 2010 Source Exam 2 Assignment 6 Note BM Bottom 85 SAS 1431 BM 9 Kennedy 130 Monday, November 22,2010; Stockbridge 114; 6:00 p.m. to 8:00 p.m. Due Tuesday, November 9,2010 We meet next Wednesday but not next Thursday. (Wednesday, Nov. 10 follows Thursday, Nov. 11 's schedule). Material Distributed Last Class But Not Covered White's polynomial expansion specification as the form for heteroscedasticity. The steps in White's test are summarized at the bottom ofBM page 85. Does SAS provide assistance with getting this estimator? Testing For Heteroscedasticity (The Reg Procedure): If you suspect heteroscedasticity, get the "nice", i.e., the consistent, estimators of the standard errors of the regression coefficients. The ACOV option is the answer. This page (specifically, equation 16) is revisited because it provides justification for what is done on SAS p. 1431. Kennedy's blurb about White along with BM's "long hand" calculation of consistent standard errors. Compare these to the ACOV output. End Of Material Distributed Last Class But Not Covered GHJ Gujarati BM BM Chapter 16 222 86 Revised BMPage 87 Autocorrelation How autocorrelation surfaces when a model is incorrectly specified: autocorrelation as the result of misspecijication. (This is also called induced autocorrelation). Dealing with autocorrelation even after everything is done to specify a model correctly. Cochrane-Orcutt methods (Substitute this page for current BM page 87.)

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Basic Econometrics by Damodar Gujarati (First edition, page 222) One possible reason for the presence of autocorrelation 2.
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