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Ch14

Ch14. 14.4 Remedial measures (p.440): depends on how we assume the dependence of u i Suppose we have AR(1). Ch14. OLS on (14.15)=> no autocorrelation will be BLUE called generalized Least Squares (GLS), 使用一般化最小平方法，求出 值 14.5 How to estimate

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Ch14

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  1. Ch14 14.4 Remedial measures (p.440): depends on how we assume the dependence of ui • Suppose we have AR(1)

  2. Ch14 OLS on (14.15)=> no autocorrelation • will be BLUE • called generalized Least Squares (GLS), 使用一般化最小平方法，求出 值 14.5 How to estimate (1) : the first difference Method (一階差分法) (if D-W statistic <R² ) Assume 代入(14.14)

  3. Ch14 (2) estimated from D-W statistic Ex: if d=0.2136, 則 =1-0.2136/2=0.8932 • Then we can use =0.8932 to run (14.4) • estimated from OLS Residuals, et AR(1): since ut are unobservable, we use et instead.

  4. Ch14 use usual OLS, we can get • Substitute into (14.15) • The method of estimating as shown in (14.20), has been refined as “Cochran-Orcutt Method” ＊ E-view: C-O procedure

  5. Ch15 單向關係(unilateral relationship) Single equation : X2…Xk: cause Y:effect But X Y => a bilateral or feedback relationship between X and Y. 15.1 Simple Keynesian Model • Ct and Yt are interdependent, is bilateral relationship => Run OLS on (15.1) • get inconsistent estimate

  6. Ch15 • Endogenous variable: a variable that is determined with the system • Exogenous variable (predetermined variable): a variable that is determined outside the system.

  7. Ch15 Ex: If u1t change (such as income, wealth and tastes) • affect both P and Q • there is a bilateral relationship between P and Q • u1t will affect Pt (Pt and u1t are not independent) • OLS on (15.3) will get inconsistency of • simultaneous equation bias (15.2,p.462) ＊若雙向關係，不是外生，是和內生變數，就要用聯立方程。

  8. Ch15 15.3 Method of Indirect Least Squares(ILS): 間接最小平方法，求取 之值。

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