Applied Econometrics Using the SAS® System

CONTENTS

Preface

Acknowledgements

1 Introduction to Regression Analysis

1.1 Introduction

1.2 Matrix Form of the Multiple Regression Model

1.3 Basic Theory of Least Squares

1.4 Analysis of Variance

1.5 The Frisch–Waugh Theorem

1.6 Goodness of Fit

1.7 Hypothesis Testing and Confidence Intervals

1.8 Some Further Notes

2 Regression Analysis Using Proc IML and Proc Reg

2.1 Introduction

2.2 Regression Analysis Using Proc IML

2.3 Analyzing the Data Using Proc Reg

2.4 Extending the Investment Equation Model to the Complete Data Set

2.5 Plotting the Data

2.6 Correlation Between Variables

2.7 Predictions of the Dependent Variable

2.8 Residual Analysis

2.9 Multicollinearity

3 Hypothesis Testing

3.1 Introduction

3.2 Using SAS to Conduct the General Linear Hypothesis

3.3 The Restricted Least Squares Estimator

3.4 Alternative Methods of Testing the General Linear Hypothesis

3.5 Testing for Structural Breaks in Data

3.6 The CUSUM Test

3.7 Models with Dummy Variables

4 Instrumental Variables

4.1 Introduction

4.2 Omitted Variable Bias

4.3 Measurement Errors

4.4 Instrumental Variable Estimation

4.5 Specification Tests

5 Nonspherical Disturbances and Heteroscedasticity

5.1 Introduction

5.2 Nonspherical Disturbances

5.3 Detecting Heteroscedasticity

5.4 Formal Hypothesis Tests to Detect Heteroscedasticity

5.5 Estimation of β Revisited

5.6 Weighted Least Squares and FGLS Estimation

5.7 Autoregressive Conditional Heteroscedasticity

6 Autocorrelation

6.1 Introduction

6.2 Problems Associated with OLS ...