Using gret l for Principles of Econometrics, 4th Edition

Using Indicator Variables

In this chapter we will explore the use of indicator variables in regression analysis. The discussion will include how to create them, estimate models using them, and how to interpret results that include them in the model. Several applications will be discussed as well. These include using them to create interactions, regional indicators, and to perform Chow tests of regression equivalence across different categories. Finally, their use in linear probability estimation is discussed and their use in evaluating treatment effects and the differences-in-difference estimators that are used in their estimation.

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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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