A Guide to Econometrics

599 Pages·2008·7.962 MB·English

by  Peter Kennedy

1943-­
KerLnePdeyt,e r,
guidet oe conometIr ics
A
GUIDET OE CONOMETRICS
This page intentionally left blank (except for this sentence, that is!).
A GUIDET O ECONOMETRICS
SIXTHE DITION
PETERK ENNEDY
SimoFnr asUenri versity
�A
Blackwell
'bP ublishing
200b8yP etKeern nedy
©
BLACKWEPLULB LISHING
35M0a iSnt rMeaeltd,Me An0 ,2 148-U5S0A2 0,
960G0a rsiRnogatOdox,nfo rOdX 42 DQU,K
55S0w ansSttornCe aertl,Vt iocnt,3o 0r5iA3au, s tralia
1ber igohfPt e tKeern ntedoby ei dentaistfi hAeeud t hooftr h Wiosr hka bse eans seirnat cecdo rwdiatnthch ee
UKC opyrDiegshitag,nn Pdsa ,t eAnc1tts9 88.
Alrli grhetsse rNvope ador.ftt h piusb limcaabytei r oenp rodsutcoeirdnaer, de trsiyesvtaoelrtm r,a nsmitted,
ina nfyo rmo rb ya nmye anesl,e ctmreocnhiacnp,ih coatlo,c orpeycionrogdro,i t nhge rewxicseaespp, te rmit­
tebdy UtKh eC opyDreisgihagtnnP,dsa teAnct1ts9 8w8i,t htohpuert i poerr miosfts hipeou nb lisher.
Designuastebidyoc nosm patnodi iesst itnhgepuiriros dhau rcoetf stc elna iamste rda demAalbrlrk asnn.ad m es
anpdr odnuacmtue sse idnt hbioso akrt er andaem esse,r vmiacrekt sr,a demoarrr ekgsi,st treardeedom fa rks
theriers peocwtnieTvrhespe .u bliisnsho aetsr s ocwiiatathnep ydr odourvc etn dmoern tiiontn hebidos o k.
Thipsu bliicdsae tsiiotgnonp erodv aicdceu raatuet haonridin tfoarmtaitivinreo e ng taotr hdse u bject
matctoevre Irtes-doi.ols nd t huen dersttahtnahdtpei un bgl iisnsho eetnr g aignre edn deprrionfge ssional
servIipfcr eosf.e sasdivooinrcoa etl he exrp aesrsti sitrsae nqcueti hrseeed r,v oifacc eosm petent
professshiooubnlesad ol u ght.
Firesdti tpiuobnl i1s9h7be9yMd a rtRionb eratnsCdoo nm pany Ltd
SecoanndTd h ierddi tpiuobnlsib syBh leadc kPwuebllli Lsthde rs
Fourtehd itpiuobnl i1s9h9e8d
Fifetdhi tpiuobnl i2s0h0e3d
Sixetdhi tpiuobnl i2s0h0be8yBd l ackPwuebllli Lsthdi ng
2008
LibroafCry o ngCraetsasl oging-Diant-aP ublication
KennePdeyt1,e9 r4,3 -
A gutioed ceo normiecPtse tKeern ne-d6yt.eh d .
pI. cm.
Inclbuidbelsi ogrreafpehriaecnniadcnl ed se x.
ISB9N7 8-1-405(1h-a8r2d:5ca 8ol-vpk4ea. rp -erIS)B N9 718--4051-(8p2b:5ak 7l.-pk 7a. p er)
1.E conomeItT.ri itclse..
HB139.2K04058
3301.'05195-dc22
2007039113
Ac atalogufeot rhr tieiscit oaslrv eda iflrabotlmhBe er itLiisbhra ry.
Seitn1 0.5.51p 1tT2 imes
byN ewgIemna gSiynsgt (ePmL)st dC,h enInnadii,a
Prinatnebddo uinntd h Uen itSetdao tfAe mse rica
byS herBiodoaknIs n,c .
Thpeu blipsohleiirtsc'ou ys s pee rmapnaepnfetrr om mi ltlhsoa pte raas tues tafionraebpslotelr iyc y,
anwdh ihcahbs e emna nufacfrtoumrp eudlp pr oceusssiaencdgi da-nfedrl eeem eycn htlaorrine-free
practFiucretsh.et rhmpeou rbel,ie snhseutrrh etashtt e e pxatp aenrcd o vbeora ursdeh da vmee t
accepetnavbilreo nmentaslt aancdcarreddsi.t ation
Fofru rtihnefro rmaotni on
BlackPwuebllli vsihosiuniwrgte , b site:
www.blackwellpublishing.com
Contents
Perafce x
Dedication xii
1 Introduction 1
1.W1h aitEs c onoimcest?r 1
12. ThDeis turbTaernmc e 2
1.E3s timaanEtdse tsti omras 4
14. Gooadn Pdr efeErsrteidm ators 5
GeneNroatle s 6
TechniNcoatle s 10
2 CriteforrEi sat imators 11
21. Introduction 11
2.2C omputaCtoisotn al 11
2.3L eaSsqtru eas 12
2
2.4H ighRest 13
2.5U nbiasedness 14
2.6E fficiency 16
2.7M eaSnq aurEer ror 17
2.8A sympPtrootpieecsr ti 18
2.9M aximLuimk elihood 21
21.0M onCtaer Sltou dies 22
21.1Ad diUnpg 25
GeneNroatle s 26
TechniNcoatle s 32
3 TheC lassicalR eLgirneesMasorid oenl 40
3.T1e txboaoskC sa talogs 40
32. The AFsisvpuetm ions 41
v
viC ontents
3.3Th OeL SE stimiantth CoeLr R M odel 43
GeneNroatle s
44
TechniNcoatle s 47
4 InterEvsatli mation andT esHtyipnogt hesis 51
41. Introduction 51
4.2Te stiaSn ign Hgylpeo tsht:eh tseT ie st 51
4.3Te stiaJn ogi Hnytp othtehFseT i esst: 52
4.4I nteErsvtailm faotarPi aorna mVeectteorr 54
4.5L RW,, a nLdM S tatistics 56
4.6B osottrianpgp 58
GeneNroatle s 59
TechniNcoatle s 67
5 Specification 71
5. 1I ntroduction 71
5.2Th rMeeet hodologies 72
5.3G enePrrailn cfioSprpl eeccsai tfiion 75
5.4M isspecTiesfitc/saDtiiaognn ostics 76
5. 5R 2A gain 79
GeneNroatle s 81
TechniNcoatle s 89
6 Violating AOsnseuW:mr potniRgoe ng resNsoonrlsi,n eaarnidt ies,
Parameter Inconstancy 93
61. Introduction 93
6.2I ncoSrerotefI cn td epeVnaadrbeilnets 93
6.3N onlriinteya 95
6.4C hangPianrga mVealtueers 97
GeneNroatle s 100
TechniNcoatle s 160
7 ViolaAtsisnugm ptTiwoo:Nn o nzeErxop ecDtiesdt urbance 109
General Notes 111
8 ViolaAtsisnugm ptTihorneN eo:n spheDriisctaulr bances 121
81. Introduction 121
8.2C onsequences of Violation 131
8.3H eterosckietdya sti 151
8.4A utocorDriesltautrebda nces 181
8.5G eneraMleitzhoeofMddo ments 122
GeneNroatle s 132
TechnliN coates 192
9 ViolaAtsisnugm ptFioounrI :n strumVeanrtiaalEb sltei mation 137
9. 1I ntroduction 173
9.2T hIeV E stimator 141
9.3I VI ssues 144
Contevnitis
GeneNroatle s 164
Technli cNaotes 151
10V iolaAtsisnugm ptFioounrM :e asuremEernrtoa rnsdA utoreesgsrio1n5 7
1.0l E rrioVnra sar biles 157
1.02A utgorreession 106
General Notes 136
TechniNcoatle s 176
11V iolaAtsisnugm ptFioounrS m:iu ltanEeqouuast ions 171
1.1I1n troduction 171
1.12I dentification 173
113S .ignle-EqMueatthioodns 167
1.14S ystems Methods 108
GeneNroatle s 118
TechniNcoatle s 186
12V iolaAtsisnugm ptFiiovMneu :l ticollinearity 192
1.2l I ntroduction 129
1.22C onsequences 193
1.23D etecMtuilntgin ceoalriltiy 149
1.24W haTtoD o 169
GeneNroatle s 189
TechniNcoatle s 202
13I ncorporEaxttirnagn Ienofoursm ation 203
13I.n1t roduction 203
1.32E xaRcets trictions 203
1.33S tochRaessttirci ctions 204
1.34P re-ETsetstitom ras 204
1.35E xtraInnefoorumsaa tnido nM SE 206
GeneNroatle s 207
Technical Notes 211
14T heB ayesAipapnr oach 213
14I.n1t roduction 213
1.42W haitas B ayesAinaansl iys? 213
1.43A dvantoaftg hBeeays e sAipapnr oach 216
1.44O vercoPmriancgt iCtoimopnlearisn't s 217
GeneNroatle s 220
TechniNcoatle s 226
15D ummyV ariables 232
1.5I1 n troduction 232
1.52I nterpretation 233
1.53A ddiAnngo tQhuearal tiiVtvaaerb ile 234
154I .nterwaictQthui anngt iVtaraitaibvlee s 235
Contents
Vlll
1.55O bservatiDounm-mSipeesc ific 236
GeneNroatle s 237
TechniNcoatle s 240
16 QualitDaetpievned Veanrti ables 241
161D. ichotomousV arDieapbelnedse nt 241
1.62P olychotomouVsaa rbiDleepse ndent 244
1.63Or deLroegdi t/Probit 245
1.64C ouDnatta 246
General Notes 246
TechniNcoatle s 254
17 LimitDeedp endVeanrti ables 262
1.7 I1n troduction 262
1.72 T hTeob iMto del 263
173S. a mple Selection 265
17D.u4r ation Models 267
GeneNroatle s 269
TechniNcoatle s 273
18 PaneDla ta 281
181.I ntroduction 281
18.A2ll owfioDrni gff eIrnetnetr cepts 282
18F.i3x Veerds Ruasn dEoffme cts 284
1.84S hoRrutVn e sruLso ng Run 286
18L.o5n Nga,r rPoawn els 287
GeneNroatle s 288
TechniNcoatle s 292
19 TimSee riEecso nometrics 296
1.9I1 n troduction 296
1.92A RIMMAo dels 297
19V.A3R s 298
194E. rrCoorr roenMc otdiels 299
19T.es5t ifnoUgrn iRto ots 301
1.96C oiengtration 302
GeneNroatle s 340
TechniNcoatle s 341
20 Forecasting 331
201.I ntroduction 331
20.C2a uFsoarle castingM/oEdceolnso metric 332
20.T3i mSee rAineasl ysis 333
20.F4o raesctAicncgu racy 334
GeneNroatle s 335
TechniNcoatle s 342
Contents ix
21 RobuEsstt imation 345
21I.n1t roduction 345
212O. utlaineIdrn sf luOebnsteiravla tions 346
213G. uardAignagi nst Influential Observa3t4i7o ns
214A. rtiNfiecuirNaaellt w orks 349
215N. onparaEmsetttirimioacn 350
GeneNroatle s 352
Technical Notes 356
22 AppliEecdo nometrics 361
221.I ntroduction 361
22.T2hT een C ommandomfAe pnptlsEi ceodn ometrics 362
22.G3e tttihWnerg o nSgi gn 368
22.C4o mmMonis takes 372
22.W5h atP rdaoc tiNteietodoKn neorws? 373
General Notes 374
TechniNcoatle s 383
23 ComputatCioonnsaild erations 385
23.I1n troduction 385
23.O2p timizaiC nogm puvStieeaar r ch 386
23.E3s timIanttienvggirS aai ulmlsa tion 388
23.D4r awOibnsge rvfraotmAi woknwsaD risdt rtiibouns 390
GeneNroatle s 392
TechniNcoatle s 397
AppenAd:Si axm plDiinsgt riTbhuFeto iuonndsoa,fSt tiaont istics4 03
AppenBd:Ai lAxlb oVuatar nice 407
AppenCd:Ai P xr imoenAr s ypmtotics 412
AppenDd:Ei xxe rcises 417
AppendAinxs wEte:oEr vse n-NuQmubeesrteido ns 479
Glsoasry 503
Bibglriaophy 511
NamIen dex 563
Subject Index 573