AN AUTOCORRELATED ERROR MODEL
Learning SAS: A C omputer Handbook f or E conometrics
R . C arter H ill
CHAPTER
16
An A utocorrelated E rror Model
A utocorrelation i n t he e rrors o f a
l inear r egression m odel,
l ike
h eteroskedastic e rrors, make t he
HETEROSKEDASTIC ERRORS
set w heat;
i f t <=13;
d ata w heat2;
s et w heat;
i f t >=14;
A pply l east s quares t o t he s eparate d ata p artitions t o o btain t he r esults i n
E quation 1 5.2.12. O utput t he r esiduals f or l ater u se.
p roc r eg d at
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 3 (September 14, 2010)
Source
Page(s)
Topics
Material Listed on Lecture 2 Topics Sheet But Not Covered
I will go through a computer demonstration of how the Central
Limit Theorem applies to
Res Ec 703: Econometrics
Order o f Topics And Readings For Lecture 2 (September 9, 2010)
Source
Pagels)
Topics
Handouts And Readings For The Next Two Classes
Syllabus
2
Readings: O R] Chapters 4, 10, and 14
O R] , page 317, problem 9.7
Assignment
Number 1
EcollOmetrica. Vol. 38, No. 2 (~arch. 1970)
TESTS OF EQUALITY BEIWEEN SETS O F COEFFICIENTS IN
. 1WO LINEAR REGRESSIONS: AN EXPOSITORY NOTE
j
.I
By FRANKLIN M.FlSHER 1 .
1.
lNTRODUCIlON
Tmi PROBU:M OF testing the equality of ~ts of ;egr~i~n coeffi.ci~nts
Res Ec 703: Econometrics
Assignment No.2: Assigned September 21, 2010; Due September 28, 2010
Present copies of your SAS instruction files, i.e., the actual SAS computer programs.
Present concise explanations with your statistical output.
Consider problem
Res Ec 703: Econometrics
Order o f T opics A nd R eadings F or L ecture 1 ( September 7,2010)
Abbreviations
D: Dhrymes
W W: W onnacott and Wonnacott
GHJ: Griffiths, Hill, and Judge
BM: Bernie M orzuch's notes
S ource
Page(s)
T opics
S yllabus
3
Reading
Res E c 703, Assignment N umber 6
S.4 t nTable . ".3 d \e arc tillleseriC$ d ata o n t oW c ost ( C') . nd o utput ( Q) foe .
.
Table
I ll.B T ime S eries
D ata ot,. T otal ' Cost ( 0) a.nd
t wo ' linnl'; I t lshypoth~b:cd that b oth 'firms" c o,t functio
Res Ec 703: Econometrics
Order Of Topics And Readings For Lecture 26, December 9, 2010
Source
Pages
Topic
Issues Relating To The Final Exam
When is it?
Tuesday, December 14, 2010, 10:30 a.m., Stockbridge 114
With what
material
does it begin?
There is over
Res Ec 703: Econometrics
Order Of Topics And Readings For Lecture 25, December 7, 2010
Source
Pages
Topic
Issues Relating To The Final Exam
When is it?
Tuesday, December 14, 2010, 10:30 a.m., Stockbridge 114
With what
material
does it begin?
There is over
Res Ec 703: Econometrics
Order Of Topics And Readings For Lecture 24, December 2, 2010
Source
Pages
Topic
Continuing With The Material From Last Class: Begin at BM page 130
BM
128-131
Introduction to simultaneous systems of equations
BM
132-135
Exploring
Res Ec 703: Econometrics
Order Of Topics And Readings For Lecture 23, November 30, 2010
Source
Pages
Topic
Material Not Covered Last Class
BM
124- middle p. 125
Instrumental variable example
BM
middle p.125-126
What happens to our choice between OLS and I
Res Ec 703: Econometrics
Order Of Topics And Readings For Lecture 22, November 23, 2010
Source
Pages
Topic
Right-Hand-Side Variables That Do Not Abide By The Classical Assumptions
BM
117-120
BM
121
one-page insert
Hausman his paper
Treating the design mat
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
Topics
Material will begin with Exact Restricted Le
Res Ec 703: Econometrics
Order Of Topics And Readings For Lecture 20, November 16, 2010
Source
Pages
BM
104
Topic
Set-up for Zellner estimation
SAS The SYSLIN Procedure
(13 pages)
How does SAS deal with SYStems of LINear equations?
BM
105
How to write SAS
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
Various formats for : different looks for NT x NT )
BM
93-98
BM
94
One format of interest for NT x N
Res Ec 703: Econometrics
Order o f Topics And Readings For Lecture 18, November 9 ,2010
Source
Continuing Autocorrelation
Assignment
6
BM
D ue?
Handwritten
Single Page
Summary: Two General Estimation Techniques When
Presented With Autocorrelation In The R
Res Ec 703: Econometrics
Order o f Topics And Readings For Lecture 17, November 4, 2010
Source
Monday, November 2 2,2010; Stockbridge 114;
6:00 p.m. to 8:00 p.m.
E xam 2
Due Tuesday, November 9 ,2010
Assignment 6
W e m eet next Wednesday but not next Thur
Res E c 703: Econometrics
O rder o f Topics A nd R eadings F or L ecture 16, November 2, 2010
Source
E xam 2
Tuesday, November 23, 2010
Starting time: 6:00 p.m. o r 7 :00 p.m.
Final E xam
Tuesday, December 14, 2010, 10:30 a.m.
The first page is the
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
develo
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 14, October 26, 2010
Source
Pages
Topic
Material Not Covered Last Lecture
Assignment
5
BM
Two
Pages
Exact RLS vs Stochastic RLS; Testing for MSE Improvement
(Due Date: October 28, 2010)
Unn
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 s
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 12, October 19, 2010
Source
Pages
Topic
Material Not Covered Last Class
BM
Unnumbered
(Handwritten)
BM
70
Converting an exact restriction to a stochastic restriction
BM
71
. Form used to es
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 11, October 14, 2010
Source
Pages
Topic
Material Not Covered Last Class
BM
59-mid 62
Case 2 RLS estimator
BM
mid 62-63
Graphical development of the tradeoff between the reduction in
varianc
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 10, October 7, 2010
Source
Pages
Exam 1
Exam 1
Topic
This evening: Stockbridge 318, 7:00 p.m.
1
Assignment
4
Directions
GHJ: (1) page 396 problem 11.4;
(2) page 399 problem 11.15, parts (a)
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 9, October 5, 2010
Source
Pages
Topic
Exam 1
Date for Exam 1: October 7, 2010
Is it possible to change the starting time of the exam from 6:00 p.m.
to 7:00 p.m.?
Material Not Covered Last C
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 8 (September 30, 2010)
Source
Page(s)
Exam 1
Topics
Date for Exam 1: October 7, 2010: Thursday, 6:00 p.m.
Material Not Covered Last Class
BM
48-50
Multicollinearity: Background and Pictoria
Res Ec 703: Econometrics
Order of Topics And Readings For Lecture 7 (September 28, 2010)
Source
Page(s)
Exam 1
Topics
Date for Exam 1: October 7, 2010: Thursday, 6:00 p.m.
Material Not Covered Last Class
BM
bottom 39-41
Situation 7: Non-nested hypothesis