Using gret l for Principles of Econometrics, 4th Edition
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In appendix 10F of POE4, the authors conduct a Monte Carlo experiment comparing the performance of OLS and TSLS. The basic simulation is based on the model y = x …
The Hausman test probes the consistency of the random effects estimator. The null hypothesis is that these estimates are consistent-that is, that the requirement of orthogonality of the model’s errors …
In this chapter we’ll estimate several models in which the variance of the dependent variable changes over time. These are broadly referred to as ARCH (autoregressive conditional heteroskedas - ticity) …