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Econometric notes

  • Calzolari, Giorgio

Lecture notes for a course of Introductory Econometrics (linear regression model and ordinary least squares, including concepts of Linear Algebra and Inferential Statistics), and for a second course of Econometrics (simultaneous equations, instrumental variables, limited and full information estimation methods, maximum likelihood).

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36765.

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Date of creation: 31 Jan 2012
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Handle: RePEc:pra:mprapa:36765
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  1. N/A, 1976. "Chapter III. the World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 75(1), pages 33-63, February.
  2. Calzolari, Giorgio & Panattoni, Lorenzo & Weihs, Claus, 1987. "Computational efficiency of FIML estimation," Journal of Econometrics, Elsevier, vol. 36(3), pages 299-310, November.
  3. Lyttkens, Ejnar, 1974. "The iterative instrumental variables method and the full information maximum likelihood method for estimating interdependent systems," Journal of Multivariate Analysis, Elsevier, vol. 4(3), pages 283-307, September.
  4. N/A, 1976. "Chapter I. The Home Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 78(1), pages 6-20, November.
  5. Phillips, P C B, 1982. "On the Consistency of Nonlinear FIML," Econometrica, Econometric Society, vol. 50(5), pages 1307-24, September.
  6. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
  7. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
  8. Howrey, E Philip & Klein, Lawrence R, 1972. "Dynamic Properties of Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(3), pages 599-618, October.
  9. Durbin, James, 1988. "Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations," Econometric Theory, Cambridge University Press, vol. 4(01), pages 159-170, April.
  10. Bianchi, Carlo & Calzolari, Giorgio, 1980. "The One-Period Forecast Errors in Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 201-08, February.
  11. Hausman, Jerry A, 1975. "An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models," Econometrica, Econometric Society, vol. 43(4), pages 727-38, July.
  12. N/A, 1976. "Chapter II. The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 78(1), pages 21-39, November.
  13. N/A, 1976. "Chapter II. The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 76(1), pages 25-44, May.
  14. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
  15. Hatanaka, Michio, 1978. "On the efficient estimation methods for the macro-economic models nonlinear in variables," Journal of Econometrics, Elsevier, vol. 8(3), pages 323-356, December.
  16. Anderson, T.W., 2005. "Origins of the limited information maximum likelihood and two-stage least squares estimators," Journal of Econometrics, Elsevier, vol. 127(1), pages 1-16, July.
  17. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models," Journal of Econometrics, Elsevier, vol. 16(3), pages 277-294, August.
  18. Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y," Econometrica, Econometric Society, vol. 56(3), pages 701-14, May.
  19. Dagenais, Marcel G, 1978. "The Computation of FIML Estimates as Iterative Generalized Least Squares Estimates in Linear and Nonlinear Simultaneous Equations Models," Econometrica, Econometric Society, vol. 46(6), pages 1351-62, November.
  20. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-68, May.
  21. Calzolari, Giorgio & Sampoli, Letizia, 1993. "A Curious Result on Exact FIML and Instrumental Variables," Econometric Theory, Cambridge University Press, vol. 9(02), pages 296-309, April.
  22. Belsley, David A., 1980. "On the efficient computation of the nonlinear full-information maximum-likelihood estimator," Journal of Econometrics, Elsevier, vol. 14(2), pages 203-225, October.
  23. Jerry A. Hausman, 1974. "Full Information Instrumental Variables Estimation of Simultaneous Equations Systems," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 641-652 National Bureau of Economic Research, Inc.
  24. N/A, 1976. "Chapter I. The Home Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 76(1), pages 6-24, May.
  25. Toye, J. F. J., 1976. "Economic Theories of Politics and Public Finance," British Journal of Political Science, Cambridge University Press, vol. 6(04), pages 433-447, October.
  26. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-24, August.
  27. anonymous, 1976. "The economy in 1975," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Feb, pages 71-81.
  28. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  29. James M. Brundy & Dale W. Jorgenson, 1974. "The Relative Efficiency of Instrumental Variables Estimators of Systems of Simultaneous Equations," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 679-700 National Bureau of Economic Research, Inc.
  30. N/A, 1976. "Chapter II. The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 77(1), pages 33-49, August.
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