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
15) LAGGED DEPENDENT VARIABLES AND AUTOREGRESSIVE DISTURBANCES
16) TESTS ON SUBSETS OF THE REGRESSION ESTIMATES
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
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
35) THE BOX--COX TRANSFORMATION
36) THE BEVERIDGE--NELSON DECOMPOSITION
37) ORDINARY LEAST-SQUARES REGRESSION AND NONSPHERICAL DISTURBANCES
38) RESTRICTED LEAST-SQUARES REGRESSION