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Online Text and Notes in Econometrics

http://www.economicsnetwork.ac.uk/teaching/text/econometrics.htm

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BRIEF NOTES

In Time-Series Analysis

2NDORDER: The 2nd-order Difference Equation with Complex Roots

AIC: The AIC Criterion for Model Selection

ARCH: Processes with Autoregressive Conditionally Heteroskedastic (ARCH) Disturbances

ARCOVAR: The Autocovariances of an AR(2) Process

BIBO: Rational Transfer Functions and BIBO Stability

BURMAN: Burman's Method of Signal Extraction: the Start-up Problem

COHERE: Bivariate Spectral Analysis

DAMPING: Linear Differential Equations

FORECAST: The Analytic Form of the Forecast Function

IAR: Forecasting an Integrated Autoregressive Process

IMA: The Integrated Moving-Average Model IMA(1, 1)

INVERT: MA Processes with Common Autocovariances

KALMAN: The Equations of the Kalman Filter

LIKELY: The Prediction-Error Decomposition of the Likelihood Function

KINEMAT: Kinematics and Dynamics

MGALES: Martingale Sequences

OLDVERT: MA Processes with Common Autocovariances

OPTIMISE: The Newton--Raphson Method and the Gauss--Newton Method

POLEZERO: The Poles and Zeros of a Rational Filter

SIGTRACT: Signal Extraction in the Case of a Random Walk Observed with Error

SHORTFLT : Filtering Short Sequences

SMOOTHIN: A Classical Smoothing Filter

SPECOVAR The Periodogram and the Circular Autocovariances

STRUCTUR Structural Time-Series Models

TRANSFER: Transfer Functions

WIENER: An Integrated Wiener Processes and its Discrete-Time Analogue

WKFILTER: Wiener--Kolmogorov Signal Extraction Filters

WILSON: Computing the MA Parameters from the Autocovariances

DENSITY: Density Function Estimation

TRIGFUNC: Recurrence Relationships for Computing Trigonometrical Functions

TOPICS IN ECONOMETRIC THEORY

This directory contains a series of brief essays which serve as lecture notes for the course in Econometric Theory which has been taught in the Department of Economics of Queen Mary College over a number of years. The material has been extracted, in the main, from the chapters of the texts in Introductory Econometrics and Intermediate Econometrics which can be found in adjacent directories.

1) THE ERRORS IN VARIABLES MODEL AND THE LINEAR REGRESSION MODEL

2) THE CLASSICAL SIMULTANEOUS-EQUATIONS MODEL

3) CONDITIONAL EXPECTATIONS AND MINIMUM-MEAN-SQUARE-ERROR PREDICTION

4) THE EFFICIENCY OF THE OLS REGRESSION ESTIMATOR

5) M-L ESTIMATION OF THE CLASSICAL LINEAR REGRESSION MODEL

6) RECURSIVE LEAST-SQUARES REGRESSION

7) CONSISTENCY AND SIMULTANEOUS-EQUATION BIAS

8) THE PARTITIONED REGRESSION MODEL

9) COCHRANE'S THEOREM AND THE DECOMPOSITION OF A CHI-SQUARE

10) THE DIAGONALISATION OF A SYMMETRIC MATRIX

11) THE GEOMETRY OF QUADRATIC FORMS

12) MIXED ESTIMATION

13) SEEMINGLY UNRELATED REGRESSIONS

14) TRANSFER FUNCTIONS

15) LAGGED DEPENDENT VARIABLES AND AUTOREGRESSIVE DISTURBANCES

16) TESTS ON SUBSETS OF THE REGRESSION ESTIMATES

17) THE GEOMETRIC LAG SCHEME

18) REGRESSION MODELS WITH AUTOREGRESSIVE DISTURBANCES

19) ERROR CORRECTION, NON-STATIONARITY AND COINTEGRATION

20) DHSY: AN ERROR-CORRECTION FORMULATION OF THE CONSUMPTION FUNCTION

21) REPARAMETRISATION OF A DYNAMIC REGRESSION MODEL

22) POLYNOMIAL DIVISION, ECMS AND THE BEVERIDGE-NELSON DECOMPOSITION

23) STRATEGIES OF HYPOTHESIS TESTING

24) TWO-STAGE LEAST SQUARES AND INSTRUMENTAL VARIABLES ESTIMATION

25) CANONICAL CORRELATIONS

26) ESTIMATING COINTEGRATED SYSTEMS: JOHANSEN'S METHOD

27) BIVARIATE AUTOREGRESSIVE PROCESSES

LECTURES IN

INTRODUCTORY ECONOMETRICS

by

D.S.G. Pollock

Queen Mary and Westfield College,

The University of London

This booklet contains some of the material of a course titled "Introductory Econometrics" which has been taught in the Department of Economics of Queen Mary College in recent years. The material is presented in the form of a series of six lectures:

1. MATRIX ALGEBRA

2. ELEMENTARY REGRESSION ANALYSIS

3. MULTIPLE REGRESSION 1

4. MULTIPLE REGRESSION 2

5. SERIALLY CORRELATED REGRESSION DISTURBANCES

6. DYNAMIC REGRESSIONS

7. Supplement 1: THE DYNAMIC CONSUMPTION FUNCTION

8. Supplement 2: DYNAMIC RESPONSES