Econometrics in Problems and Exercises

The proposed reader of the manual contains the tasks of the most different levels of complexity --- from typical ones, which are given with a detailed solution, to tasks of increased complexity. In addition to the usual tasks that can be solved “manually”, a large number of tasks are selected that require the use of any statistical packages. Tasks are given that develop programming skills in these packages.
The problem is covered by all the main sections on the Employment of the introductory level:
• Assessment of linear regression models according to the method of the smallest squares (MNK),
• Gauss theorem --- Markova and the properties of a MNC-tie,
• construction of trust intervals for the parameters of these models,
• Testing hypotheses,
• Features of assessment of linear regression models in the context of violation of the Gauss - Markov Theorem (case of multicollinearity, heteroscope and auto -correction),
• Tests for the correct functional shape of the model (Ramsey test and boxing test).
In addition, the manual contains tasks on topics that belong to the intermediate level:
• Assessment of economies by maximum credibility (MMP),
• Testing hypotheses using three classic tests associated with the method of maximum credibility: Test Relations of believable, the test of Lagrange multipliers and Walda test,
• Binar selection models (logit and Probit models),
• Models with random regressors,
• Elements of the theory of temporary rows (ARMA processes, Dicky-Fuller test for the stationary row, Garch models).
There are also two sections of an advanced level in the task book: the method of support vectors and Random Forest, and two auxiliary sections that contain the necessary information on linear algebra and probability theory