Introductory Econometrics

Part 1 Multiple regression analysis: revision of some important concepts in two-variable regression; least squares estimation with more than one explantory variable; small-sample and large-sample properties of estimators; the classical linear multiple regression model; further reading; appendix - the properties of consistent estimators; notes. Part 2 Maxiumum likelihood estimation: maximum likelihood estimation when variables are discrete; maximum likelihood estimation when variables are continuous; properties of maximum likelihood estimators; maximum likelihood estimation and multiple regression; the computation of maximum likelihood estimates; further reading; notes. Part 3 Some extensions of the classical linear model: non-linear regression equations; dummy variables; testing for parameter stability; restrictions on the parameters of regression equations; the likelihood ratio test; the Wald test; the Legrange multipler test; further reading; notes. Part 4 Breakdowns in classical assumptions: stochastic explanatory variables; errors of measurement; breakdowns in assumptions concerning the disturbances; factors resulting in a lack of precision in the OLS estimators; further reading; notes. Part 5 Lagged variables: geometric lag distributions; the formation; lags of adjustment; rational lags; polynominal of almon lags; further reading; notes. Part 6 The specification and selection of models: specification errors; model selection; error-correction models; stationarity; co-integration; an overall strategy for model selection; further reading; notes. Part 7 Simultaneous equation systems: the problems of identification and simultaneous equation bias; the estimation of simultaneous relationships; maximum likelihood estimation of overidentified equations; the choice of estimation technique; further reading; notes. Part 8 Demand analysis: specification of the demand equation; the aggregation problem; estimation from time series data; the estimation of Engel curves; the demand for durable goods; estimating complete systems of demand equations; early complete system models; some later developments; outstanding issues; appendix; notes. Part 9 Consumption functions: general problems and early empirical work; the life-cycle hypothesis; prices, inflation and wealth effects; error correction models of consumption; rational expectations and consumption; recent work on UK consumption; conclusions; appendix A; appendix B; notes. Part contents.