Content of present website is being moved to . Registration of will be discontinued on 2020-08-14.
Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Printable PDF file
I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
1. Time Series.
A. Time series forecasting.
B. Updating a linear forecast.
C. Kalman filter I.
D. Kalman filter II.
E. Simultaneous equations.
a. Simple linear reduction.
b. Simultaneous equations bias.
c. Two stage least squares procedure for simultaneous equations.
d. General note of applicability.
2. Classical statistics.
3. Bayesian statistics.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Two stage least squares procedure for simultaneous equations.

uppose that the $w_{t}$ is some variable correlated with $\varepsilon_{t}$ and uncorrelated with $\omega_{t}$ . Such variable is called "instrument" for calculation of $\alpha$ . Suppose that MATH is a sample of it. We recover an unbiased estimate $\hat{\alpha}$ of $\alpha$ by first projecting $p$ on $w:$ MATH and then projecting $q$ on $p^{\ast}:$ MATH

Notation. Index. Contents.

Copyright 2007