This document is a summary of everything you need to know for the endterm (and midterm) of the course 'Econometrics' (6012B0453Y) at the University of Amsterdam, taught by Hans van Ophem. This document includes the following topics: log and ln, expected value, variance, covariance, estimators, simp...
SOLUTIONS MANUAL for Introduction to Econometrics, Global Edition 4th Edition James H. Stock; Mark Watson - (GET DOWNLOAD LINK FOR MULTIPLE FILES + EXCEL)
Estimators → are random!
We try to estimate a population parameter. This is usually unknown, except in a Monte Carlo
Analysis.
• Unbiasedness: 𝐸 (𝑋̅) = 𝜇
• Consistency: 𝑣𝑎𝑟(𝑋̅) → 0 as 𝑛 → ∞
AND the estimator is asymptotically (“as 𝑛 → ∞”) unbiased!
Simple regression
𝑌𝑖 = 𝛽0 + 𝛽1 𝑋𝑖 + 𝑢𝑖 (population)
→ 𝛽1 measures the unit change in 𝑌, per unit change in 𝑋
We estimate 𝛽0 and 𝛽1 by min ∑𝑒𝑖2
𝑌̂𝑖 = 𝛽̂0 + 𝛽̂1 𝑋𝑖 (fitted value)
𝑒𝑖 = 𝑢̂𝑖 = 𝑌𝑖 − 𝑌̂𝑖 = 𝑌𝑖 − 𝛽̂0 − 𝛽̂1 𝑋𝑖
2
min ∑𝑒𝑖2 = min ∑(𝑌𝑖 − 𝛽̂0 − 𝛽̂1 𝑋𝑖 )
1. Take the first derivative with respect to 𝛽0 and/or 𝛽1
2. Set equal to 0 and solve for 𝛽0 or 𝛽1
Least Squares Assumptions
1) 𝜀𝑖 is a random variable with 𝐸 (𝜀𝑖 |𝑋) = 0
2) (𝑌𝑖 , 𝑋𝑖 ) are i.i.d.
3) Large outliers are unlikely → finite nonzero 4th moments → kurtosis is finite
1
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying these notes from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller Helena0207. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy these notes for $8.13. You're not tied to anything after your purchase.
