Basic econometrics.: Student solutions manual for use with Basic econometrics

PREFACE......Page 1
I.1 WHAT IS ECONOMETRICS?......Page 6
I.2 WHY A SEPARATE DISCIPLINE?......Page 7
I.3 METHODOLOGY OF ECONOMETRICS......Page 8
I.5 MATHEMATICAL AND STATISTICAL PREREQUISITES......Page 17
I.7 SUGGESTIONS FOR FURTHER READING......Page 18
PART ONE - SINGLE-EQUATION REGRESSION MODELS......Page 20
1.1 HISTORICAL ORIGIN OF THE TERM REGRESSION......Page 22
1.2 THE MODERN INTERPRETATION OF REGRESSION......Page 23
1.4 REGRESSION VERSUS CAUSATION......Page 27
1.5 REGRESSION VERSUS CORRELATION......Page 28
1.6 TERMINOLOGY AND NOTATION......Page 29
1.7 THE NATURE AND SOURCES OF DATAFOR ECONOMIC ANALYSIS......Page 30
1.8 SUMMARY AND CONCLUSIONS......Page 36
EXERCISES......Page 37
2.1 A HYPOTHETICAL EXAMPLE......Page 42
2.2 THE CONCEPT OF POPULATION REGRESSION FUNCTION (PRF)......Page 46
2.3 THE MEANING OF THE TERM LINEAR......Page 47
2.4 STOCHASTIC SPECIFICATION OF PRF......Page 48
2.5 THE SIGNIFICANCE OF THE STOCHASTIC DISTURBANCE TERM......Page 50
2.6 THE SAMPLE REGRESSION FUNCTION (SRF)......Page 52
2.7 AN ILLUSTRATIVE EXAMPLE......Page 56
EXERCISES......Page 57
3.1 THE METHOD OF ORDINARY LEAST SQUARES......Page 63
3.2 THE CLASSICAL LINEAR REGRESSION MODEL: THE ASSUMPTIONS UNDERLYING THE METHOD OF LEAST SQUARES......Page 70
3.3 PRECISION OR STANDARD ERRORS OF LEAST-SQUARES ESTIMATES......Page 81
3.4 PROPERTIES OF LEAST-SQUARES ESTIMATORS: THE GAUSS–MARKOV THEOREM......Page 84
3.5 THE COEFFICIENT OF DETERMINATION r^2: A MEASURE OF “GOODNESS OF FIT”......Page 86
3.6 A NUMERICAL EXAMPLE......Page 92
3.7 ILLUSTRATIVE EXAMPLES......Page 95
3.8 A NOTE ON MONTE CARLO EXPERIMENTS......Page 96
3.9 SUMMARY AND CONCLUSIONS......Page 98
EXERCISES......Page 99
APPENDIX 3A......Page 105
4 CLASSICAL NORMAL LINEAR REGRESSION MODEL (CNLRM)......Page 112
4.2 THE NORMALITY ASSUMPTION FOR ui......Page 113
4.3 PROPERTIES OF OLS ESTIMATORS UNDER THE NORMALITY ASSUMPTION......Page 115
4.4 THE METHOD OF MAXIMUM LIKELIHOOD (ML)......Page 117
4.5 SUMMARY AND CONCLUSIONS......Page 118
APPENDIX 4A......Page 119
5.1 STATISTICAL PREREQUISITES......Page 124
5.2 INTERVAL ESTIMATION: SOME BASIC IDEAS......Page 125
5.3 CONFIDENCE INTERVALS FOR REGRESSION COEFFICIENTS β1 AND β2......Page 126
5.4 CONFIDENCE INTERVAL FOR σ^2......Page 129
5.5 HYPOTHESIS TESTING: GENERAL COMMENTS......Page 131
5.6 HYPOTHESIS TESTING: THE CONFIDENCE-INTERVAL APPROACH......Page 132
5.7 HYPOTHESIS TESTING: THE TEST-OF-SIGNIFICANCE APPROACH......Page 134
5.8 HYPOTHESIS TESTING: SOME PRACTICAL ASPECTS......Page 139
5.9 REGRESSION ANALYSIS AND ANALYSIS OF VARIANCE......Page 145
5.10 APPLICATION OF REGRESSION ANALYSIS: THE PROBLEM OF PREDICTION......Page 147
5.11 REPORTING THE RESULTS OF REGRESSION ANALYSIS......Page 150
5.12 EVALUATING THE RESULTS OF REGRESSION ANALYSIS......Page 151
5.13 SUMMARY AND CONCLUSIONS......Page 155
EXERCISES......Page 156
APPENDIX 5A......Page 164