Econometrics

  1. Violations of Classical Assumptions
    1. Heteroskedasticity
      1. Nature and Sources
        1. Common Causes in Economic Data
          1. Pure vs. Impure Heteroskedasticity
          2. Consequences for OLS
            1. Unbiasedness Maintained
              1. Inefficiency of OLS
                1. Invalid Standard Errors
                2. Detection Methods
                  1. Graphical Methods
                    1. Residual Plots
                      1. Formal Tests
                      2. Testing for Heteroskedasticity
                        1. Breusch-Pagan Test
                          1. White Test
                            1. Goldfeld-Quandt Test
                            2. Remedial Measures
                              1. Heteroskedasticity-Robust Standard Errors
                                1. Weighted Least Squares
                                  1. Feasible Generalized Least Squares
                                2. Serial Correlation
                                  1. Nature and Sources
                                    1. Common Patterns
                                      1. Causes in Time Series Data
                                      2. Consequences for OLS
                                        1. Unbiasedness Maintained
                                          1. Inefficiency
                                            1. Invalid Standard Errors
                                            2. Detection Methods
                                              1. Graphical Analysis
                                                1. Residual Plots
                                                  1. Correlogram Analysis
                                                  2. Testing for Serial Correlation
                                                    1. Durbin-Watson Test
                                                      1. Breusch-Godfrey Test
                                                        1. Ljung-Box Test
                                                        2. Remedial Measures
                                                          1. HAC Standard Errors
                                                            1. Generalized Least Squares
                                                              1. Cochrane-Orcutt Procedure
                                                            2. Non-normality of Errors
                                                              1. Sources and Consequences
                                                                1. Detection Methods
                                                                  1. Jarque-Bera Test
                                                                    1. Remedial Measures

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                                                                  6. Qualitative Information and Dummy Variables

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                                                                  8. Endogeneity and Instrumental Variables