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1、Contents1Introduction51.1MeansandStandardDeviation.....................51.2TestingSampleMeans.........................6LectureNotesforEconometrics2002(?rstyear1.3CovarianceandCorrelation.......................81.4LeastSquares..............................10PhDcourseinSto
2、ckholm)1.5MaximumLikelihood..........................111.6TheDistributionofˇO..........................12PaulS?derlind11.7DiagnosticTests.............................141.8TestingHypothesesaboutˇO......................14June2002(sometyposcorrectedandsomematerialaddedlater
3、)APracticalMatters16BACLTinAction172UnivariateTimeSeriesAnalysis212.1TheoreticalBackgroundtoTimeSeriesProcesses...........212.2EstimationofAutocovariances.....................222.3WhiteNoise...............................252.4MovingAverage............................252.
4、5Autoregression.............................282.6ARMAModels.............................352.7Non-stationaryProcesses........................363TheDistributionofaSampleAverage443.1VarianceofaSampleAverage.....................441UniversityofSt.Gallen.Address:s/bf-HSG,Rosen
5、bergstrasse52,CH-9000St.Gallen,3.2TheNewey-WestEstimator.......................48Switzerland.E-mail:Paul.Soderlind@unisg.ch.Documentname:EcmAll.TeX.13.3Summary................................507.9GMMwithSub-OptimalWeightingMatrix..............1137.10GMMwithoutaLossFunct
6、ion....................1144LeastSquares527.11SimulatedMomentsEstimator.....................1154.1De?nitionoftheLSEstimator.....................524.2LSandR2...............................548ExamplesandApplicationsofGMM1184.3FiniteSamplePropertiesofLS...................
7、..568.1GMMandClassicalEconometrics:Examples.............1184.4ConsistencyofLS............................578.2Identi?cationofSystemsofSimultaneousEquations.........1244.5AsymptoticNormalityofLS......................598.3TestingforAutocorrelation.......................127
8、4.6Inference................................628.4EstimatingandTestingaNormalDistribution.............13
