Econometrics for Daily Lives, Volume I

Index

Additive dummy variables, 68–69

Assumptions

multiple linear regressions, 44

simple linear regressions, 24–25

Autocorrelation

autocorrelation function, 81–82

consequences, 81

HAC standard errors, 84

LM test, 82–84

multiple regression, 80

OLS estimator, 84–86

one lag error and k lag errors, 80

population correlation function, 81

regressing, 93–95

regression, 92–94

simple-regression model, 79

testing, 92–94

Autoregressive distributed lag (ARDL) model, 90–91

Autoregressive (AR) model

dependent variable, 86

first-difference model, 88–89

interval prediction, 87–88

one constant and two lag values, 87

point prediction, 87

random walk model, 86

Balanced panel, 98

Best linear unbiased estimators (BLUE), 25, 72, 84

Central Limit Theorem (CLT), 25 ...