Transcription of Econometric Theory and Methods
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Econometric Theory and Methods
Econometric Theory and MethodsRussell DavidsonDepartment of EconomicsMcGill UniversityJames G. MacKinnonDepartment of EconomicsQueen s University at KingstonCopyrightc 2021 by Russell Davidson and James G. MacKinnonOxford University Press, New YorkISBN 0-19-512372-7 Oxford University Press, New YorkISBN 0-19-512372-7 This book was originally published by Oxford University Pressin late 2003 with a 2004 date. By agreement with OUP,the rights reverted to the authors in 2004 by Oxford University Press, 2021 by Russell Davidson and James G. MacKinnonISBN 0-19-512372-7, 2004 xxxContentsPrefaceixData, Solutions, and Correctionsxviii1 Regression Distributions, Densities, and The Specification of Regression Matrix Method-of-Moments Notes on the Exercises382 The Geometry of Linear The Geometry of Vector The Geometry of OLS The Frisch-Waugh-Lovell Applications of the FWL Influential Observations and Final Exercises823 The Statistical Properties of Ordinary Least Are OLS Parameter Estimators Unbiased?
12.5 Maximum Likelihood Estimation 532 12.6 Nonlinear Simultaneous Equations Models 540 12.7 Final Remarks 543 12.8 Appendix: Detailed Results on FIML and LIML 544 12.9 Exercises 550 13 Methods for Stationary Time-Series Data 556 13.1 Introduction 556 13.2 Autoregressive and Moving-Average Processes 557 13.3 Estimating AR, MA, and ARMA Models 565
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