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Statistical Methods of Econometrics.
Statistical Methods of Econometrics
计量经济学的统计方法
This now classic volume aims at a systematic presentation of the statistical methods used for the analysis of economic data. The properties of the various procedures are studied within the framework of theoretical stochastic models. Their relevance for inference on the economic phenomena is discussed at length. This third edition has been updated in many respects. Chapter 8 (Regression in Various Contexts) has been rewritten and now provides a full discussion of estimation…
The Estimation of Distributed Lags: A Comment
分布滞后的估计：评论
Considering first the case of a known autocorrelation coefficient $, Klein observes that (4) may be viewed as a structural linear relation between the latent variables yt' -et, xI and yt'-l -et-,. Even knowing $, two of those variables are not observable. But the y' and yt' may be computed; et and et-, may be considered as errors of observation of the corresponding latent variables. In comparison with the classical models containing errors in variables, (4) is somewhat…