By Dimitrios Asteriou
This new econometrics textual content offers in particular with using econometric software program. The textual content takes the reader from a few of the sorts of econometric facts (time sequence, go sectional and panel), via their formatting in digital media (eg ASCII) to their move to and use in everyday software program packages--Excel, Microfit and Eviews. so much economics levels now require scholars to exploit appropriate software program to check econometric versions and this article illustrates sincerely how this can be to be performed.
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Additional resources for Applied Econometrics: A Modern Approach Using Eviews and Microfit Revised Edition
These are needed because Xt is used to explai'n what is happening (the explanatory variable). called misspecification errors, such as wrong regressors, nonlinearities and changing parameters. We discuss those problems analytically in Chapter 9. Violation of assumptions two and three results in errors in variables and problems which are discussed in Chapter 11. Violation of the fourth assumption leads to a biased intercept, while violations of assumptions 5 and 6lead to problems of heteroskedasticity and serial correlation respectively.
L = E [L 8t Yt - \ =E[L8tYt- L8tE(Yr)t E (L 8t Yt) ( = E [L 8t(Yt- E(Yt))t II In this expression we can use Yt =a+ fJXt L [ ) ! 49) .. s 3 u 1 u3 + ... '",' Using assumptions 5 (Var(Ut) obtain that: = a 2 ) and 6 (Cov(ut, u5 ) Var(p) r. 49), which ensure unbiasedness (with this then having a linear, unbiased minimum variance estimator). We formulate the Langrangean function: L= a [. 52) where Al and AZ are Langrangean multipliers. e. ·. 34). 54) Thus, the ~ of the OLS is the BLUE. xf) l. , ': Consistency Consistency is the idea that as the sample becomes infinitely large the parameter estimate given by a procedure such as OLS converges on the true parameter value.
R··, -~ A rather•tricky question in econometrics is the choice between nominal and real terms for our data. The problem with nominal series is that they incorporate a price component that can obscure the fundamental features that we are interested in. This is particularly problematic when two nominal variables are being compared, since the dominant price component in each will produce close matches between the series, resulting in a spuriously high correlation coefficient. g. the CPl for consumption expenditure or the PPI for manufacturing production).