Wk4 Multiple Regression

Wk4 Multiple Regression - I nt r oduct i on t o Econom r i...

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I nt r oduct i on t o Economet r i cs Spr i ng 2010 Wk4. Mul t i var i at e Regr essi on
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2 The Tr i var i at e model The PRF of a 3- var i abl e model may be wr i t t en as: Taki ng expect at i ons on bot h si des gi ves: I nt er pr et at i on: vs . β j i s t he mar gi nal ef f ect of X j on Y, cet er i s par i bus ( t hat i s β j i s t he ef f ect of a smal l change i n t he j t h RHS var i abl e on t he LHS var i abl e, “ whi l e hol di ng ot her
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4 OLS Est i mat or The sampl e r egr essi on f unct i on can be wr i t t en as As wi t h t he bi var i at e case, t he OLS pr ocedur e consi st s i n choosi ng t he unknown par amet er s such t hat r esi dual sum of squar es ( RSS) i s as smal l as possi bl e, i . e.
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5 Di f f er ent i at i ng, set t i ng t o zer o and r e- ar r angi ng gi ves t he “ nor mal ” equat i ons: Thi s gi ves t he ol s est i mat or s:
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6 St andar d Er r or of OLS Est i mat es And, si nce we do not know σ , boot st r ap and use:
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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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Wk4 Multiple Regression - I nt r oduct i on t o Econom r i...

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