1. 1 Econometrics 1 Lecture 20 Random Regressor and Large Sample Theory

2. 2 Random Regressor Models

3. 3 Random Regressor Model

4. 4 Reasons for Random Regressor

5. 5 Simultaneity and Random Regressor

6. 6 Measurement Error

7. 7

8. 8 Hausemen Test

9. 9 **instrumental variable 2SLS c y (I) /dn coef=b1 pcov cov=v1 gen1 sigiv =$sig2 *original estimate OLS C Y /DN coef=b0 cov=v0 nomulsigsq matrix v0 = sigiv*v0 * compute Hausman specification test sample 1 2 genr q = b1-b0 matrix vq =v1-v0 *Hausman statistics matrix m =(q(1)**2)/vq(1,1) print m Hausman specification test Shazam Programme

10. 10 Large Sample Tests

11. 11 Shazam program for LM, Likelihood ratio and Wald tests (GHJ, 14.10)