Principles of Econometrics

By R. C. Hill, William E. Griffiths, G. Lim. 2008

1,240 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1231f4e422aa63fa81d20326a375c5a0791012d8

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Citations in the corpus

Modeling Ordered Choices: A Primer and Recent Developments (2008, neutral): “See, for example, the “Frontiers” section of Theil (1971).”
Energy markets volatility modelling using GARCH (2014, methodology): “Table 8 presents an assessment of the quality of mean-model forecasts using a range of forecast performance statistics, including Mean Error (ME), Mean Absolute Error (MAE), Root Mean Squared Error (RMSE) and Theil’s U statistics [see Theil (1971)].”
Does Corporate Governance Transparency Affect the Accuracy of Analyst Forecasts (2006, positive): “We also use country17 To compare the explanatory power of the financial transparency and governance transparency, we use a decomposition method derived theoretically by Theil (1971), and which is used by Collins et al. (1997).”
Understanding Instrumental Variables in Models with Essential Heterogeneity (2006, neutral): “Sensitivity to functional forms and partially missing Z variables is not a feature of the method of instrumental variables, which is robust to misspecification of the P (z)– the model for D– a feature long noted in the literature (see e.g. Theil (1971)).”
Multi-fidelity optimization via surrogate modelling (2007, methodology): “The inverse of the augmented covariance matrix ~ C K1 is found using the partitioned inverse formula (Theil 1971) CCCcðr(2)ŝ(2)cCŝ(2)dKcCcÞcC KCcðr(2)ŝ(2)cCŝ(2)dKcCcÞ Kðr(2)ŝ(2)cCŝ(2)dKcCcÞcC ðr(2)ŝ(2)cCŝ(2)dKcCcÞ !”
Estimation of the standard error and confidence interval of the indirect effect in multiple mediator models (2006, background): “Coefficients in the model must be asymptotically 20 normally distributed, consistent and efficient (Theil, 1971).”
Model selection procedures in social research: Monte-Carlo simulation results (2008, methodology): “This is the same as the Schwarz [18] Information Criterion (SIC), and can also be written BIC = N∗ log(SSE/N) + k∗ log(N) = N∗ log(1 − R2) + k∗ log(N) [8, pp.”
The Slx Model (2015, methodology): “The methodology behind these tests is explained in many econometric textbooks; we used Hill et al. (2012, pp. 419–422). As instrumental variables we initially exploited variables that can be taken from the Baltagi and Li (2004) cigarette demand data set.”
A Step-By-Step Guide to the Black-Litterman Model Incorporating User-specified Confidence Levels (2019, methodology): “…Litterman (2003).2 The Black Litterman model combines the CAPM (see Sharpe (1964)), reverse optimization (see Sharpe (1974)), mixed estimation (see Theil (1971, 1978)), the universal hedge ratio / Black’s global CAPM (see Black (1989a, 1989b) and Litterman (2003)), and mean-variance optimization…”
Collinearity: revisiting the variance inflation factor in ridge regression (2015, background): “Taking into account: var(β̂i) = σ 2∑n j=1(Xji − X̄i)2 1 1 − R2i , i = 1, . . . , p. (4) If the exogenous variables are orthogonal to the variable Xi, then R2i = 0 and the expression of the variance of the standard model estimator will be given by var(β̂Si ) = σ 2∑n j=1(Xji − X̄i)2 , i = 1, . . . , p”
Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis (2006, neutral): “This statement relies on an approximation to the expectation of the multiple correlation coefficient in a least squares regression in which y and X are jointly normal , and y is independent of X ( Theil , 1971 , .”
The Rise of an Athlete Brand: Factors Influencing the Social Media following of Athletes (2020, neutral): “…which violated the assumption in OLS regression that the error term had constant variance across all values of the independent variables (Hayes & Cai, 2007), we calculated heteroscedastici-ty-consistent standard errors before we performed the regression analyses (Hill et al., 2011).”