Econometrics

  1. The Simple Linear Regression Model
    1. Model Specification and Assumptions
      1. The Population Regression Function
        1. Linear Functional Form
          1. Interpretation of Parameters
            1. Stochastic Specification
            2. The Sample Regression Function
              1. Estimation from Sample Data
                1. Fitted Values and Residuals
                  1. Relationship to Population Function
                  2. The Error Term
                    1. Sources of Randomness
                      1. Role in the Model
                        1. Assumptions about Error Term
                      2. Ordinary Least Squares Estimation
                        1. Derivation of OLS Estimators
                          1. Minimizing Sum of Squared Residuals
                            1. First Order Conditions
                              1. Algebraic Solution
                              2. Geometric Interpretation
                                1. Projection and Orthogonality
                                  1. Residual Vector Properties
                                  2. Interpretation of Coefficients
                                    1. Slope Coefficient
                                      1. Intercept Term
                                        1. Economic Interpretation
                                      2. Classical Linear Regression Model Assumptions
                                        1. Linearity in Parameters
                                          1. Random Sampling
                                            1. Sample Variation in Explanatory Variable
                                              1. Zero Conditional Mean
                                                1. Homoskedasticity
                                                  1. No Serial Correlation
                                                    1. Normality of Errors
                                                    2. Properties of OLS Estimators
                                                      1. Finite Sample Properties
                                                        1. Unbiasedness
                                                          1. Variance of OLS Estimators
                                                            1. Gauss-Markov Theorem
                                                              1. Best Linear Unbiased Estimator Property
                                                              2. Asymptotic Properties
                                                                1. Consistency
                                                                  1. Asymptotic Normality
                                                                    1. Asymptotic Efficiency
                                                                  2. Goodness of Fit Measures
                                                                    1. R-squared
                                                                      1. Definition and Calculation
                                                                        1. Interpretation
                                                                          1. Limitations
                                                                          2. Adjusted R-squared
                                                                            1. Motivation and Formula
                                                                              1. Comparison with R-squared
                                                                              2. Standard Error of Regression
                                                                              3. Statistical Inference
                                                                                1. Hypothesis Testing for Individual Coefficients
                                                                                  1. t-test Formulation
                                                                                    1. Critical Values and p-values
                                                                                      1. One-tailed vs. Two-tailed Tests
                                                                                      2. Confidence Intervals
                                                                                        1. Construction
                                                                                          1. Interpretation
                                                                                            1. Relationship to Hypothesis Tests
                                                                                            2. Overall Significance Testing
                                                                                              1. F-test for Regression
                                                                                                1. Relationship to R-squared

                                                                                            Previous

                                                                                            2. Review of Probability and Statistics

                                                                                            Go to top

                                                                                            Next

                                                                                            4. The Multiple Linear Regression Model