Springer Texts in Business and Economics

For parts (b) and (c), SAS will automatically compute confidence intervals for the mean (CLM option) and for a specific observation (CLI option), see the

SAS program in 3.17.

95% CONFIDENCE PREDICTION INTERVAL

Dep Var

Predict

Std Err

Lower95%

Upper95%

Lower95%

Upper95%

COUNTRY

LNEN1

Value

Predict

Mean

Mean

Predict

Predict

AUSTRIA

14.4242

14.4426

0.075

14.2851

14.6001

13.7225

15.1627

BELGIUM

15.0778

14.7656

0.077

14.6032

14.9279

14.0444

15.4868

CYPRUS

11.1935

11.2035

0.154

10.8803

11.5268

10.4301

11.9770

DENMARK

14.2997

14.1578

0.075

14.0000

14.3156

13.4376

14.8780

FINLAND

14.2757

13.9543

0.076

13.7938

14.1148

13.2335

14.6751

FRANCE

16.4570

16.5859

0.123

16.3268

16.8449

15.8369

17.3348

GREECE

14.0038

14.2579

0.075

14.1007

14.4151

13.5379

14.9780

ICELAND

11.1190

10.7795

0.170

10.4222

11.1368

9.9912

11.5678

IRELAND

13.4048

13.0424

0.093

12.8474

13.2375

12.3132

13.7717

ITALY

16.2620

16.2752

0.113

16.0379

16.5125

15.5335

17.0168

MALTA

10.2168

10.7152

0.173

10.3526

11.0778

9.9245

11.5059

NETHERLAND

15.4379

15.0649

0.081

14.8937

15.2361

14.3417

15.7882

NORWAY

14.2635

13.9368

0.077

13.7760

14.0977

13.2160

14.6577

PORTUGAL

13.4937

14.0336

0.076

13.8744

14.1928

13.3131

14.7540

SPAIN

15.4811

15.7458

0.097

15.5420

15.9495

15.0141

16.4774

SWEDEN

14.8117

14.7194

0.077

14.5581

14.8808

13.9985

15.4404

SWZERLAND

14.1477

14.3665

0.075

14.2094

14.5237

13.6465

15.0866

TURKEY

14.4870

15.1736

0.083

14.9982

15.3489

14.4494

15.8978

UK

16.5933

16.3259

0.115

16.0852

16.5667

15.5832

17.0687

W. GERMANY

16.8677

16.7713

0.130

16.4987

17.0440

16.0176

17.5251

References

Baltagi, B. H. (1995), “Optimal Weighting of Unbiased Estimators,” Econometric Theory, Problem 95.3.1, 11:637.

Samuel-Cahn, E. (1994), “Combining Unbiased Estimators,” The American Statis­tician, 48: 34-36.

Trenkler, G. (1996), “Optimal Weighting of Unbiased Estimators,” Econometric Theory, Solution95.3.1, 12: 585.

Zheng, J. X. (1994), “Efficiency as Correlation,” Econometric Theory, Solution 93.1.3, 10:228.

CHAPTER 4

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Springer Texts in Business and Economics

The General Linear Model: The Basics

7.1 Invariance of the fitted values and residuals to non-singular transformations of the independent variables. The regression model in (7.1) can be written as y = XCC-1" + u where …

Regression Diagnostics and Specification Tests

8.1 Since H = PX is idempotent, it is positive semi-definite with b0H b > 0 for any arbitrary vector b. Specifically, for b0 = (1,0,.., 0/ we get hn …

Generalized Least Squares

9.1 GLS Is More Efficient than OLS. a. Equation (7.5) of Chap. 7 gives "ois = " + (X'X)-1X'u so that E("ois) = " as long as X and u …

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