Using gret l for Principles of Econometrics, 4th Edition

Generalized R2

A generalized version of the goodness-of-fit statistic R2 can be obtained by taking the squared correlation between the actual values of the dependent variable and those predicted by the regres­sion. The following script reproduces the results from section 4.4.4 of your textbook.

1 open "@gretldirdatapoecps4_small. gdt"

2 logs wage

3 ols l_wage const educ

4 series y = exp($yhat)

5 scalar corr1 = corr(y, wage)

6 scalar Rsquare = corr1"2

7 print corrl Rsquare

This yields an estimated correlation of 0.4312 and a squared correlation of 0.1859.

Добавить комментарий

Using gret l for Principles of Econometrics, 4th Edition

Simulation

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 …

Hausman Test

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 …

Time-Varying Volatility and ARCH Models: Introduction to Financial Econometrics

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) …

Как с нами связаться:

Украина:
г.Александрия
тел./факс +38 05235  77193 Бухгалтерия
+38 050 512 11 94 — гл. инженер-менеджер (продажи всего оборудования)

+38 050 457 13 30 — Рашид - продажи новинок
e-mail: msd@msd.com.ua
Схема проезда к производственному офису:
Схема проезда к МСД

Партнеры МСД

Контакты для заказов шлакоблочного оборудования:

+38 096 992 9559 Инна (вайбер, вацап, телеграм)
Эл. почта: inna@msd.com.ua