703 Lecture 19 - BM 97 Most general format for NT x NT : ....

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 19, November 10, 2010 Source Pages Topic Material Distributed Last Class But Not Covered BM 93-98 Various formats for : different looks for NT x NT ) BM 94 One format of interest for NT x NT : . Cross-sectional heteroscedasticity . Time-wise autocorrelation Note the main-diagonal T x T block matrices; Note the off-diagonal T x T block matrices. BM 96 This format promotes a new relationship in the error structure: . The way in which the error terms for cross-sections i and j move together through time. This is called mutual correlation . BM 98 (Bottom) How is the coefficient of mutual correlation calculated ?
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Unformatted text preview: BM 97 Most general format for NT x NT : . Cross-sectional heteroscedasticity . Time-wise autocorrelation . Mutual correlation BM 98 How to get estimates of each element of presented in (8) on page 97. End Of Material Distributed Last Class But Not Covered BM 99-103 The big questions: Suppose you have a SYStem of LINear equations with no feedback mechanisms (i.e., no interdependency be- tween left-side and right-side variables). . How might the grand Omega matrix look? . How might the grand X matrix look? . How might the grand Beta vector look? . How do you sequentially deal with the pertinent estimation issues?...
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This note was uploaded on 12/08/2011 for the course ECON 703 taught by Professor Bernardmorzuch during the Fall '10 term at UMass (Amherst).

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