Econometrics-I-7 - Applied Econometrics William Greene...

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Applied Econometrics William Greene Department of Economics Stern School of Business
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Applied Econometrics 7. Estimating the Variance of the Least Squares Estimator
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Context     The true variance of  b  is  σ 2 E [(X X) -1 ]     We  consider how to use the sample data to  estimate this matrix.  The ultimate objectives  are to form interval estimates for regression  slopes and to test hypotheses about them.   Both require estimates of the variability of the  distribution.  We then examine a factor which  affects how "large" this variance is,  multicollinearity.
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