Summary
Econometrics UoM summary
- Institution
- The University Of Manchester (UOM)
Contains all the lecture slides plus extra readings material described in a easy way
[Show more]
Seller
Follow
Content preview
💭econometrics 2s
Consider the price of tomatoes
What features can we observe in a time series plot . . . ?
tutorial 1
tutorial 2
lecture 1: introduction
model assumptions
assumptions 1
the model is as specified and linear in parameters:
assumption 2
random sampling {yi , x1i , ..., xki }, n observations
assumption 3
there is variation in explanatory variables. no perfect collinearity (full rank of X)
econometrics 2s 1
, assumption 4
zero conditional mean
assumption 5
heteroskedasticity, constant error variance
A1 to A5 (Gauss Markov assumptions) guarantee that OLS parameter estimator
is BLUE (best linear unbiased)
assumption 6
normality of error term
the assumption implies A4 and A5
classical linear model
Gauss-Markov assumptions + A6 Inference on β can be based on t and F tests
in samples of any size.
if A6 is not valid then inference has to be justified in large sample (asymptotic
theory)
observation wise form to matrix form
same model can be represented in two ways
econometrics 2s 2
, the matrix form is much more general as it leaves the number of columns in X
unspecified
use the one that makes things easier (depending on context)
matrix form
let X be a (n×k) matrix, y be a (n×1) vector and u is a (n×k) vector of error terms
if the first column of X is a vector of ones (representing a constant) then β^1 is
the estimated constant parameter
econometrics 2s 3
, in semester 1: k was the number of explanatory variables, here it is the total
number of parameters
let X be a (n×k) matrix, Y be a (n×1) vector and u is a (n×1) vector of error terms
note: this is a symmetric matrix
random regressors
In semester 1 we assumed that X were non-random or fixed in repeated
samples.
Let’s start from this result
We established that β^ was a random variable (with a distribution) and proved
unbiasedness by taking expectations and using ZCM assumption.
econometrics 2s 4
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 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 aaryanmam. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy these notes for £7.39. You're not tied to anything after your purchase.
Can Stuvia be trusted?
4.6 stars on Google & Trustpilot (+1000 reviews)
67474 documents were sold in the last 30 days
Founded in 2010, the go-to place to buy revision notes and other study material for 14 years now