By Philip Hans Franses
This booklet is a perfect creation for starting scholars of econometrics that assumes simply simple familiarity with matrix algebra and calculus. It positive factors functional questions which might be replied utilizing econometric equipment and types. concentrating on a constrained variety of the main uncomplicated and everyday tools, the ebook experiences the fundamentals of econometrics prior to concluding with a few contemporary empirical case experiences. the quantity is an intuitive representation of what econometricians do while confronted with useful questions.
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Additional info for A Concise Introduction to Econometrics: An Intuitive Guide
It is then useful to consider the error (usually called standard error or se) of µ. ˆ Without giving a formal proof, I mention here that the standard error of µ, ˆ where the sample data originate from a normal distribution, is seµˆ σˆ √ . 14) where N(0, 1) denotes the standard normal distribution, and where µˆ seµˆ is called the t-ratio (-value) or z-score. The reason why one would want to have an estimator and its associated standard error is that one can now examine if the estimate equals zero with some confidence.
Hence, one might look for estimators for β 1 29 A Concise Introduction to Econometrics and β 2 for which the residual terms εˆ i have the smallest variance σˆ 2 . 19) n one may aim to find those values βˆ 1 and βˆ 2 which minimize this sum of squares. In essence, this is the method of ordinary least squares (OLS). At first sight one may think that finding the appropriate estimates amounts to trying out many guesses for βˆ 1 and βˆ 2 and pick those two with the smallest σˆ 2 . However, it turns out that there is what is called the OLS formula, and this yields unique and (in some respects) optimal estimators, which are very easy to compute.
Sometimes it is even assumed that ε t is normally distributed. This hypothesis makes sense, as if all traders knew the same, then arbitrage opportunities would not exist or would at least disappear very quickly. The key issue, however, is whether traders have the same information and if they all interpret it in the same way. 2) were true, can stock market crashes happen? 2) looks like a rather precise statement, to really be able to be a bit more conclusive on whether people trade efficiently on average, it seems that one should sit next to traders and to ask them why they do what they do.