4-8-09 - b2, ) of the population coefficients are BEST...

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Economic Statistics – Class Notes – 4/8/09 I. The Multiple Regression Model a. The population model b. The sample model c. Estimation procedure
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d. Assumptions of the Model In 3-D space, a plane is a surface For 3-D space, replace the word “ LINE ” with the word “ PLANE - NO heteroskedasticity implies the variance of the error terms is finite and constant. Heteroskedasticity – “different spread”
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Multicollinearity – Multiple relationship between two variables. GAUSS-MARKOV THEOREM If assumptions 2, 3, 4, and 5 are satisfied, the least squares estimators (a, b1,
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Unformatted text preview: b2, ) of the population coefficients are BEST LINEAR UNBIASED ESTIMATORS . Best - implies the smallest variance (no estimator will have a smaller variance). Linear a linear relation Unbiased Least squared errors is sometimes called ordinary squared errors 5. A Confidence Interval for : Recall if Hence, a 90% Confidence Interval for the slope coefficient, , is given by:...
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This note was uploaded on 06/03/2009 for the course ECON 203 taught by Professor Casler during the Spring '09 term at Allegheny.

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4-8-09 - b2, ) of the population coefficients are BEST...

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