最新版本，1024页。
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About this document
This document integrates lecture notes for a one year graduate level
course with computer programs that illustrate and apply the meth-
ods that are studied. The immediate availability of executable (and
modifiable) example programs when using the PDF version of the
document is a distinguishing feature of these notes. If printed, the
document is a somewhat terse approximation to a textbook. These
notes are not intended to be a perfect substitute for a printed text-
book.
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Contents
1 About this document 20
1.1 Licenses . . . . . . . . . . . . . . . . . . . . . . . . . . 26
1.2 Obtaining the materials . . . . . . . . . . . . . . . . . 27
1.3 An easy way to use L YX and Octave today . . . . . . . . 27
2 Introduction: Economic and econometric models 30
3 Ordinary Least Squares 36
3.1 The Linear Model . . . . . . . . . . . . . . . . . . . . . 36
3.2 Estimation by least squares . . . . . . . . . . . . . . . 39
3.3 Geometric interpretation of least squares estimation . 44
3.4 Influential observations and outliers . . . . . . . . . . 51
3.5 Goodness of fit . . . . . . . . . . . . . . . . . . . . . . 56
3.6 The classical linear regression model . . . . . . . . . . 61
3.7 Small sample statistical properties of the least squares
estimator . . . . . . . . . . . . . . . . . . . . . . . . . 64
3.8 Example: The Nerlove model . . . . . . . . . . . . . . 77
3.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4 Asymptotic properties of the least squares estimator 89
4.1 Consistency . . . . . . . . . . . . . . . . . . . . . . . . 91
4.2 Asymptotic normality . . . . . . . . . . . . . . . . . . . 94
4.3 Asymptotic efficiency . . . . . . . . . . . . . . . . . . . 96
4.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 99
5 Restrictions and hypothesis tests 100
5.1 Exact linear restrictions . . . . . . . . . . . . . . . . . 100
5.2 Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
5.3 The asymptotic equivalence of the LR, Wald and score
tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
5.4 Interpretation of test statistics . . . . . . . . . . . . . . 134
5.5 Confidence intervals . . . . . . . . . . . . . . . . . . . 135
5.6 Bootstrapping . . . . . . . . . . . . . . . . . . . . . . . 138
5.7 Wald test for nonlinear restrictions: the delta method . 142
5.8 Example: the Nerlove data . . . . . . . . . . . . . . . . 149
5.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 159
6 Stochastic regressors 162
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