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An Introduction to Econometric Theory
book

An Introduction to Econometric Theory

by James Davidson
October 2018
Beginner content levelBeginner
250 pages
12h 14m
English
Wiley
Content preview from An Introduction to Econometric Theory

11Partitioning and Specification

11.1 The Partitioned Regression

In nearly every modelling exercise, explanatory variables fall into two groups. There are the focus variables, the significance, sign, or magnitude of whose coefficients are the object of the analysis. And there are also what are often called nuisance variables, which are included because they help to explain images, although there is no particular interest in their coefficients. Focus and nuisance parameters may be spoken of in the same vein. The intercept term is perhaps the most frequently encountered of the latter type. This is a natural motivation for partitioning the regressor matrix by columns and the coefficient vector to match. Choosing images and images such that images, write

images

where images is images and is , partition conformably, and hence write

(11.1)
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Publisher Resources

ISBN: 9781119484882Purchase book