703 Lecture 21 - SUR estimates lead to gains in efficiency...

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Res Ec 703: Econometrics Order Of Topics And Readings For Lecture 21, November 18, 2010 Source Pages Topic Issues Relating To Exam No. 2 Exam 2 Monday, November 22, 2010, 6-8 p.m., Stockbridge 114 Exam 2 Material will begin with Exact Restricted Least Squares Topics and cover through Set-Up for Zellner Estimation (BM p. 104) (Included in this is GHJ page 561: Testing for Contemporaneous Correlation) Final exam material: The one-page Zellner summary and conclusions; Kmenta condensed two pages; BM p. 105 on. Because all of this has to do with SUR, the final exam really begins with BM p. 104). Material Not Covered Last Class Zellner 348, 363 The items above are presented in Zellner’s paper on seemingly (Condensed to unrelated regression (SUR). I am providing you with the Intro- one page) duction (page 348) and Conclusion (page 363) of his classic paper. These pages state the specific conditions under which
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Unformatted text preview: SUR estimates lead to gains in efficiency relative to OLS. BM 106-108 Deriving the variance of the SUR estimator for eventual com- parison with the variance of the OLS estimator (Cover these pages on your own). BM 109 Comparing variances of regression coefficients between OLS and SUR models Kmenta 639-643 . Original source for BM pages 106-109. (Condensed to . These pages specify the precise conditions under which two pages) SUR leads to gains in efficiency relative to OLS. . Note that these pages support Zellner pages 348 and 363. End Of Material Not Covered Last Class BM 110-116 Introduction to Fixed Effects Models: We will address this after we cover systems of simultaneous equations. Right-Hand-Side Variables That Do Not Abide By The Classical Assumptions BM 117-120 Treating the design matrix (X) as not fixed and finding the instrumental variable estimator....
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