Applied Econometrics Second edition

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Applied Econometrics Second edition. Dimitrios Asteriou and Stephen G. Hall. Λανθασμένη Εξειδίκευση. 1. Παραλείποντας ισχυρές ή συμπεριλαμβάνοντας μη-ισχυρές ερμηνευτικές μεταβλητές 2. Διάφορες συναρτησιακές μορφές 3. Σφάλματα μέτρησης 4 . Έλεγχοι για λανθασμένη εξειδίκευση - PowerPoint PPT Presentation

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Applied EconometricsSecond editionDimitrios Asteriou and Stephen G. Hall

Applied Econometrics 1. - 2. 3. 4. 5.

Applied Econometrics2 1. CLRM.2. CLRM.3. .4. .5. .6. - .7. .Applied Econometrics . , CLRM . :Y=1+2X2+ 3X3+u 20 3 0, . Applied Econometrics , :Y=1+2X2+u X3 ., :u= 3X3+e :E(u)=E(3X3+e)=E(3X3)+E(e)= E(3X3) 0Applied Econometrics , X3 X2 X2. 2 3 . .Applied Econometrics - . :Y=1+2X2+u :Y=1+2X2+ 3X3+e X3 .Applied Econometrics X3 , . (i.e. 3=0). 3=0 CLRM OLS ., . X2 X3 . - Applied Econometrics , :Y=1+2X2+ 3X3+v :Y=1+2X2+ 4X4+w .Applied Econometrics - Y . , : . Applied Econometrics , - , :(salary)= 1+2(sex)+3(educ) +3(background)+uApplied Econometrics background 1 2. , , ( 3 ). , .Applied Econometrics , . , .

Applied Econometrics , :Y=1+2X2+ 3X3+4X*4+u X2 X3 , X*4 ., :X*4=1+2X4+e e 1 . . ( 2>0)Applied Econometrics , : Y=1+2X2+ 3X3+4(1+2X4+e)+u = (1+ 41)+2X2+ 3X3+42X4+(4e+u) = a1 + 2X2+ 3X3+ a4X4+ w , 1 4, a1, 2, 3 a4.Applied Econometrics Y=1+2X2- Y=1+2lnX2 Y=1+2 (1/X2) Y=1+2X2 +3X22 Y=1+2X2 +3X2Z- lnY=1+2X2 lnY=1+2lnX2

Applied Econometrics Box-Cox ; , test ( ). , : R2., , .Applied Econometrics Box-Cox :Y=1+2X2 and lnY=1+2lnX2 , Y . Box-Cox.Applied Econometrics Box-Cox 1: .Y=(Y1Y2Y3Yn)1/n=exp[(1/n)lnY) 2: Y Y 1:Y*=Yi/Y 3: Y* . RSS . 4: , (1/2 n)ln(RSS2/RSS1) -. RSS2 .Applied Econometrics . . , OLS. . , . .Applied Econometrics :

Ramsey RESET test - Applied Econometrics 1: Jarque-Berra (JB) ( Eviews) 2: - . 3: JB>-, .Applied Econometrics Ramsey Reset Test 1: Y, Y. 2: 1 , Y2 Y3 . 3: 1 2 . F- . 4: F- F ( F-stat>F-crit ).Applied Econometrics - , , F-.- , - . :Y=1+2X2 +3X3+u (1)Y=1+2lnX2 +3lnX3+u (2)Applied Econometrics - (Mizon Richard) :Y= 1+ 2X2 + 3X3+ 4lnX2 +5lnX3+e , F-test 4 5 (1).

Applied EconometricsTests for Non-Nested ModelsA second approach (Davidson and McKinnon) suggests that if model (1) is true then the fitted values of (2) should be insignificant in (1) and vice versa.So they suggest the estimation of Y= 1+ 2X2 +3X3+Y*+ewhere Y* is the fitted values of model (2). A simple t-test of the coefficient of Y* can conclude.

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