lesson11 - Regressions Part II

lesson11 - Regressions Part II - Lesson11:...

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Lesson11-1  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Lesson 11: Regressions Part II Regressions Part II
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Lesson11-2  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Does watching television rot your mind? Zavodny, Madeline (2006): “Does watching television rot your  mind? Estimates of the effect on test scores,”  Economics of  Education Review , 25 (5): 565–573 Television is one of the most omnipresent features of Americans’  lives. The average American adult watches about 15 hours of  television per week, accounting for almost one-half of free time. The substantial amount of time that most individuals spend  watching television makes it important to examine its effects on  society, including human capital accumulation and academic  achievement.
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Lesson11-3  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data This analysis uses three data sets to examine the relationship  between television viewing and test scores: the National  Longitudinal Survey of Youth 1979 (NLSY), the HSB survey and  the NELS. Each survey includes test scores and a question about  the number of hours of television watched by young adults. Test score of  individual  i  at time  t
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Lesson11-4  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Summary of samples from data sets
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Lesson11-5  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Regression results **p<0.01; *p<0.05; †p<0.1
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Lesson11-6  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Multiple Linear Regression Model Relationship Between Variables Is a Linear Function   Y  intercept  Slope  Random  Error Dependent  (Response)  Variable Independent  (Explanatory)  Variable Y =  β 0  +  β 1 X 1  +  β 2 X 2  +  β 3 X 3  + … +  β k X k  +  ε
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Lesson11-7  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Finance Application:  multifactor pricing model It is assumed that rate of return on a stock (R) is linearly related to  the rate of return on some factor and the rate of return on the  overall market (R m ). Rate of return on a  particular oil  company stock i at  time t Rate of return on some  major stock index The rate of return on  crude oil price on date t R it  =  β 0  +  β oi  R ot β 1 R mt  + ε
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Lesson11-8  Ka-fu Wong © 2007 ECON1003: Analysis of Economic Data Estimation by Method of moments Number of moment condition needed Y =  β 0  +  β 1 X 1  +  β 2 X 2  +  β 3 X 3  + … +  β k X k  +  ε k+1 parameters to estimate.  Need k+1 moment conditions. Assumption #1
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This note was uploaded on 09/06/2010 for the course ECON ECON1003 taught by Professor Paul during the Fall '09 term at HKU.

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lesson11 - Regressions Part II - Lesson11:...

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