[<]

 

TOPICS IN ECONOMETRIC THEORY

 

This directory contains a series of brief essays which serve as lecture notes for the course in Econometric Theory, which has been taught in the Department of Economics of Queen Mary College over a number of years. The material has been extracted, in the main, from the chapters of the texts in Introductory Econometrics and Intermediate Econometrics which can be found in adjacent directories.

 

1) THE ERRORS IN VARIABLES MODEL AND THE LINEAR REGRESSION MODEL

2) THE CLASSICAL SIMULTANEOUS-EQUATIONS MODEL

3) CONDITIONAL EXPECTATIONS AND MINIMUM-MEAN-SQUARE-ERROR PREDICTION

4) THE EFFICIENCY OF THE OLS REGRESSION ESTIMATOR

5) M-L ESTIMATION OF THE CLASSICAL LINEAR REGRESSION MODEL

6) RECURSIVE LEAST-SQUARES REGRESSION

7) CONSISTENCY AND SIMULTANEOUS-EQUATION BIAS

8) THE PARTITIONED REGRESSION MODEL

9) COCHRANE'S THEOREM AND THE DECOMPOSITION OF A CHI-SQUARE

10) THE DIAGONALISATION OF A SYMMETRIC MATRIX

11) THE GEOMETRY OF QUADRATIC FORMS

12) MIXED ESTIMATION

13) SEEMINGLY UNRELATED REGRESSIONS

14) TRANSFER FUNCTIONS

15) LAGGED DEPENDENT VARIABLES AND AUTOREGRESSIVE DISTURBANCES

16) TESTS ON SUBSETS OF THE REGRESSION ESTIMATES

17) THE GEOMETRIC LAG SCHEME

18) ALMON'S DISTRIBUTED LAG ESTIMATOR

19) REGRESSION MODELS WITH AUTOREGRESSIVE DISTURBANCES

20) ERROR CORRECTION, NON-STATIONARITY AND COINTEGRATION

21) DHSY: AN ERROR-CORRECTION FORMULATION OF THE CONSUMPTION FUNCTION

22) REPARAMETRISATION OF A DYNAMIC REGRESSION MODEL

23) POLYNOMIAL DIVISION, ECMS AND THE BEVERIDGE-NELSON DECOMPOSITION

24) STRATEGIES OF HYPOTHESIS TESTING

25) TWO-STAGE LEAST SQUARES AND INSTRUMENTAL VARIABLES ESTIMATION

26) CANONICAL CORRELATIONS

27) ESTIMATING COINTEGRATED SYSTEMS: JOHANSEN'S METHOD

28) BIVARIATE AUTOREGRESSIVE PROCESSES

29) THE CONDITIONAL AND UNCONDITIONAL MODELS OF FACTOR ANALYSIS

30) HAZARD, SURVIVAL AND DURATION

31) THE BIVARIATE NORMAL DISTRIBUTION

32) WEAK EXOGENEITY

32) COINTEGRATED BIVARIATE VECTOR AUTOREGRESSIONS

33) REPRESENTATIONS OF COINTEGRATED SYSTEMS

34) THE GAUSS--MARKOV THEOREM

35) THE BOX--COX TRANSFORMATION

36) THE BEVERIDGE--NELSON DECOMPOSITION

37) ORDINARY LEAST-SQUARES REGRESSION AND NONSPHERICAL DISTURBANCES

38) RESTRICTED LEAST-SQUARES REGRESSION

39) STOCHASTIC DIFFERENTIAL EQUATIONS

40) CONDITIONAL EXPECTATIONS