Decomposition of Least-Squares Estimators and Covariance Matrices

Teun Kloek

Chapter 9 in Contributions to Consumer Demand and Econometrics, 1992, pp 163-175 from Palgrave Macmillan

Abstract: Abstract In 1953 Henri Theil was appointed extraordinary (i.e. part-time) professor of econometrics at the Netherlands School of Economics at Rotterdam. He got his full-time appointment in 1956. His first set of lecture notes carried the title ‘Elementary regression and time series analysis’. It had the level and indeed much of the style and the material of his Introduction to Econometrics (Theil, 1978). Among other things, it already contained the ‘textile example’, dealing with the consumption of textile in the Netherlands, 1923–39. (The reader will note that in 1953 the post-war annual time series were too short for analysis by regression methods.) It also already emphasized the usefulness of diagrams in order to check model assumptions. In particular, it contained the decomposition and the partial scatter diagrams present both in the Principles (Theil, 1971) and in the Introduction (Theil, 1978).

Keywords: Covariance Matrix; Real Income; Income Elasticity; Influential Observation; Covariance Matrix Estimator (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-12221-9_9

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DOI: 10.1007/978-1-349-12221-9_9

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