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Econometrics 1

Econometrics 1. Lecture 20 Random Regressor and Large Sample Theory. Random Regressor Models. Random Regressor Model. Reasons for Random Regressor. Simultaneity and Random Regressor. Measurement Error. Measurement Error. Hausemen Test. Hausman specification test Shazam Programme.

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Econometrics 1

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  1. Econometrics 1 Lecture 20 Random Regressor and Large Sample Theory

  2. Random Regressor Models

  3. Random Regressor Model

  4. Reasons for Random Regressor

  5. Simultaneity and Random Regressor

  6. Measurement Error

  7. Measurement Error

  8. Hausemen Test

  9. Hausman specification testShazam Programme **instrumental variable 2SLS c y (I) /dn coef=b1 pcov cov=v1 gen1 sigiv =$sig2 *original estimate OLS C Y /DN coef=b0 cov=v0 nomulsigsq matrix v0 = sigiv*v0 * compute Hausman specification test sample 1 2 genr q = b1-b0 matrix vq =v1-v0 *Hausman statistics matrix m =(q(1)**2)/vq(1,1) print m

  10. Large Sample Tests

  11. Shazam program for LM, Likelihood ratio and Wald tests (GHJ, 14.10)

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