Econometrics – Part II

A simple survey over the most basic concepts that is usually studied within introductory courses in econometrics.

Content

1. Statistical inference
1.1 Hypothesis testing
1.2 Confi dence interval
1.2.1 P-value in hypothesis testing
1.3 Type I and type II errors
1.4 The best linear predictor

2. Model measures
2.1 The coeffi cient of determination (R2)
2.2 The adjusted coeffi cient of determination (Adjusted R2)
2.3 The analysis of variance table (ANOVA)

3. The multiple regression model
3.1 Partial marginal effects
3.2 Estimation of partial regression coeffi cients
3.3 The joint hypothesis test
3.3.1 Testing a subset of coeffi cients
3.3.2 Testing the regression equation

4. Specifi cation
4.1 Choosing the functional form
4.1.1 The linear specifi cation
4.1.2 The log-linear specifi cation
4.1.3 The linear-log specifi cation
4.1.4 The log-log specifi cation
4.2 Omission of a relevant variable
4.3 Inclusion of an irrelevant variable
4.4 Measurement errors

5. Dummy variables
5.1 Intercept dummy variables
5.2 Slope dummy variables
5.2.1 A model will intercept and slope dummy variable
5.3 Qualitative variables with several categories
5.4 Piecewise linear regression
5.5 Test for structural differences