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October 31, 2006

Heteroskedasticity

Somebody forgot his camera.

Posted by bparke at 10:49 PM | Comments (0)

October 26, 2006

Autocorrelated Errors

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Posted by bparke at 09:35 PM | Comments (0)

October 24, 2006

Structural Change

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Posted by bparke at 09:36 PM | Comments (0)

BLS Income Data

The BLS income data is at the following links.

You will need the data and the variable definitions. The do file
from today's class might also be helpful.

Posted by bparke at 09:21 PM | Comments (0)

October 15, 2006

Elasticities

From the Q & A session:

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Posted by bparke at 08:36 PM | Comments (0)

F vs. t Tests

From the Q & A session:

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Posted by bparke at 08:34 PM | Comments (0)

October 12, 2006

University Day

Posted by bparke at 08:47 PM | Comments (0)

October 10, 2006

Getting Ready for Midterm 1

We discussed the midterm and homework.

Posted by bparke at 08:46 PM | Comments (0)

October 05, 2006

Multicollinearity and Irrelevant Variables

We begin with some algebra for estimation of the three-variable regression model. The formula for the parameter estimate gives us the flavor of how the regression attempts to extract the effect of one variable when there are two regressors.

Correlation between the two regressors (collinearity) causes the variance of an estimate to be larger than it would be for the two-variable regression model. If both regressors belong in the model, then that is just the way things are. If one regressor really has a coefficient of zero, we have included an irrelevant variable and our estimate of the nonzero parameter is inefficient.

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The notation differs from our usual notation.

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For the two-variable regression model the sample covariance between the regressor and the error term causes the estimate to deviate from the true parameter value.

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We can restate our previous result on a left-out variable as:

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Posted by bparke at 09:31 PM | Comments (0)

October 03, 2006

Notes about F Tests

We spent most of our time talking about the homework, but there are a few pictures relating to F tests.

The rejection region for a two restriction F is elliptical. Putting two t tests together creates a rectangle.

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Posted by bparke at 09:30 PM | Comments (0)