Quantitative Methods in Economics II

We start with the classical linear regression model and tests for restrictions of the parameter. We cover the geometric interpretation of OLS and elementary optimality theory (Gauss-Markov theorem), as well as GLS estimation and feasible GLS estimators. Then we deal with generalizations necessary for practical applications: Asymptotic theory, heteroscedasticity and consistent estimators for the variance of the estimation errors like Eicker-White.
Additionally, we discuss maximum-likelihood estimation, and the Wald-LM-LR tests and their equivalence.

Quantitative Methods in Economics II

ECONOMICS 512

Section 01