 Using gret l for Principles of Econometrics, 4th Edition

# Marginal Effects   When variables interact, the marginal effect of one variable on the mean of another has to be computed manually based on calculus. Taking the partial derivative of average sales with respect to advertising yields produces the marginal effect on average sales of an increase in advertising;

The magnitude of the marginal effect depends on the parameters as well as on the level of adver­tising. In the example marginal effect is evaluated at two points, advert=.5 and advert=2. The code is:

3 printf "nThe marginal effect at \$500 (advert=.5) is

4 %.3f and at \$2000 (advert=2) is %.3fn",me1,me2 and the result is:

The marginal effect at \$500 (advert=.5) is 9.383 and at \$2000 (advert=2) is 1.079

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## 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) …

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