Econometrics - Part III

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

Content

1. Heteroskedasticity and diagnostics
1.2 Detecting heteroskedasticity
1.2.1 Graphical methods
1.2.2 Statistical tests
1.3 Remedial measures
1.3.1 Heteroskedasticity-robust standard errors

2. Autocorrelation and diagnostics
2.1 Defi nition and the nature of autocorrelation
2.2 Consequences
2.3 Detection of autocorrelation
2.3.1 The Durbin Watson test
2.3.2 The Durbins h test statistic
2.3.3 The LM-test
2.4 Remedial measures
2.4.1 GLS when AR(1)
2.4.2 GLS when AR(2)

3. Multicollinearity and diagnostics
3.1 Consequences
3.2 Measuring the degree of multicollinearity
3.3 Remedial measures

4. Simultaneous equation models
4.1 Introduction
4.2 The structural and reduced form equation
4.3 Identifi cation
4.3.1 The order condition of identifi cation
4.3.2 The rank condition of identifi cation
4.4 Estimation methods
4.4.1 Indirect Least Squares (ILS)
4.4.2 Two Stage Least Squares (2SLS)

A. Statistical tables
Table A1
Table A2
Table A3
Table A4