Jeffrey Wooldridge

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Jeffrey Wooldridge 2006 (3rd edition) Introductory Econometrics: A Modern Approach. Florence, KY: Wadsworth Publishing.

Chapter 1

datasets

http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.des

http://fmwww.bc.edu/ec-p/data/wooldridge/datasets.list.html

[edit] Chapter 16: Instrumental variables estimation and 2-stage least squares=

16 flashcards

[edit] Glossary

glossary

• Endogenous Variables In simultaneous equations models, variables that are determined by the equations in the system.
• Exclusion Restrictions Restrictions that state that certain variables are excluded from the model (or have zero population coefficients).
• Exogenous Variable Any variable that is uncorrelated with the error term in the model of interest.
• Identified Equation An equation whose parameters can be consistently estimated, especially in models with endogenous explanatory variables.
• Just Identified Equation For models with endogenous explanatory variables, an equation that is identified but would not be identified with one fewer instrumental variable.
• Lagged Endogenous Variable In a simultaneous equations model, a lagged value of one of the endogenous variables.
• Order Condition A necessary condition for identifying the parameters in a model with one or more endogenous explanatory variables: the total number of exogenous variables must be at least as great as the total number of explanatory variables.
• Overidentified Equation In models with endogenous explanatory variables, an equation where the number of instrumental variables is strictly greater than the number of endogenous explanatory variables.
• Predetermined Variable In a simultaneous equations model, either a lagged endogenous variable or a lagged exogenous variable.
• Rank Condition A sufficient condition for identification of a model with one or more endogenous explanatory variables.
• Reduced Form Equation A linear equation where an endogenous variable is a function of exogenous variables and unobserved errors.
• Reduced Form Error The error term appearing in a reduced form equation.
• Reduced Form Parameters The parameters appearing in a reduced form equation.
• Simultaneity A term that means at least one explanatory variable in a multiple linear regression model is determined jointly with the dependent variable.
• Simultaneity Bias The bias that arises from using OLS to estimate an equation in a simultaneous equations model.
• Simultaneous Equations Model (SEM) A model that jointly determines two or more endogenous variables, where each endogenous variable can be a function of other endogenous variables as well as of exogenous variables and an error term.
• Structural Equation An equation derived from economic theory or from less formal economic reasoning.
• Structural Error The error term in a structural equation, which could be one equation in a simultaneous equations model.
• Structural Parameters The parameters appearing in a structural equation.
• Unidentified Equation An equation with one or more endogenous explanatory variables where sufficient instrumental variables do not exist to identify the parameters.