Syllabus
1. Linear regression model.
2. Estimation of regression parameters.
3. M-estimators and efficient estimators.
4. Consistency and speed of convergence of these estimators.
5. Linear regression model adapted for economical applications.
6. Error dependence in linear regression model.
7. Autoregressive model.
8. Censored linear regression model.
Annotation
The lecture follows lecture NMEK432 with specialization on the mathematical theory of modern econometrics. Linear regression with general loss function.
Censored data.