ECON 351* -- Introductory Econometrics

Section B -- Winter Term 2000

Notes for ECONOMICS 351* -- Winter Term 2000

Notes for

 

ECONOMICS 351* -- INTRODUCTORY ECONOMETRICS

 

Michael G. Abbott

 

Department of Economics
Queen’s University
Kingston, Ontario K7L 3N6

 

1999-2000

 

These notes are intended to supplement the required textbook for the course, which is

Damodar N. Gujarati, Basic Econometrics, 3rd Edition. New York: McGraw-Hill, 1995. ISBN 0-07-025214-9.

As far as possible, the notes adhere to the notational conventions of the assigned textbook. These notes and the assigned readings in Gujarati (1995) constitute the essential required reading material for the course.

Copyright © 1999 by Michael G. Abbott

 

CONTENTS

 

NOTE 1

Specification -- Assumptions of the Simple Classical Linear Regression Model (CLRM)

… 12 pages

NOTE 2

Ordinary Least Squares (OLS) Estimation of the Simple CLRM

…16 pages

NOTE 3

Desirable Statistical Properties of Estimators

… 21 pages

NOTE 4

Statistical Properties of the OLS Coefficient Estimators

… 11 pages

NOTE 5

Computational Properties and Goodness-of-Fit of the OLS Sample Regression Equation

… 18 pages

NOTE 6

The Fundamentals of Statistical Inference in the Simple Linear Regression Model

… 24 pages

NOTE 7

Interval Estimation in the Classical Normal Linear Regression Model

… 12 pages

NOTE 8

Hypothesis Testing in the Classical Normal Linear Regression Model

… 31 pages

NOTE 9

Analysis of Variance in the Simple Linear Regression Model

… 10 pages

NOTE 10

Conditional Prediction in the Simple (Two-Variable) Linear Regression Model

… 20 pages

NOTE 11

The Multiple Classical Linear Regression Model (CLRM): Specification and Assumptions

… 14 pages

NOTE 12

OLS Estimators of the Multiple (Three-Variable) Linear Regression Model

… 15 pages

NOTE 13

Goodness-of-Fit in the Multiple Linear Regression Model

… 15 pages

NOTE 14

Tests of Exclusion Restrictions on Regression Coefficients: Formulation and Interpretation

… 9 pages

NOTE 15

F-Tests of Linear Coefficient Restrictions: A General Approach

… 16 pages

NOTE 16

F-Tests of Exclusion Restrictions on Regression Coefficients: Numerical Examples

… 22 pages

NOTE 17

Functional Form in the Variables: Common Specifications

… 9 pages

NOTE 18

Tests of Single Linear Coefficient Restrictions: t-tests and F-tests

… 12 pages

NOTE 19

Using Dummy Variables to Test for Coefficient Differences

… 26 pages

NOTE 20

Tests for Coefficient Differences: Numerical Examples

… 20 pages

NOTE 21

Linear Regression Models With Heteroskedastic Errors

… 8 pages

NOTE 22

Linear Regression Models With Autoregressive Errors

… 14 pages

 

 

How to Get a Print Copy

Hard copies of the Notes for ECONOMICS 351* can be purchased from the AMS Publishing & Copy Centre located on the lower (first) floor of the John Deutsch University Centre, Queen's University.

Last updated on January 4, 2000.

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