Practical 3 - Assumption 2: X values fixed in repeated...

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Practical 3 January 20, 2010
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More on OLS on GRETL • Generating random variables • Run a regression! • There is a possibility of a  Type-I error.
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Verifying the OLS  assumptions • From <CONSOLE> ; ols testscr const  str • testscr _hat  = 698.933   −   2.27981 str (9.4675)       (0.47983) • Note R-squared = RSS/TSS = 0.05124 • Hypothesis testing (2-sided test): H 0 β 1  = 0 vs. H a β 1  ≠ 0 H 0 β 2  = 0 vs. H a β 2  ≠ 0 • Note: t-stat =  β _hat /SE( β _hat )
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• Assumption 1: Linear Regression Model
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Unformatted text preview: Assumption 2: X values fixed in repeated sampling Assumption 3: Zero mean value of disturbance Assumption 4: Homoskedasticity (constant variance) Assumption 5: No autocorrelation between disturbances Assumption 6: Zero covariance between u and X So are we happy with the regression? No! There could be a possibility of omitted variable bias! Chk corr(el_pct,str) and corr(el_pct,testscr). The F-test F-stat...
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This note was uploaded on 03/14/2010 for the course ECON econmetric taught by Professor Yy during the Spring '10 term at Seoul National.

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Practical 3 - Assumption 2: X values fixed in repeated...

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