Regression_Example

Regression_Example - REGRESSION EXAMPLE • Given data...

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Unformatted text preview: REGRESSION EXAMPLE • Given data points xi = i , i =1,..,20 • Consider the regression model Yi = β0 + β1 xi + εi , i = 1,..,20 u1 εi = ρεi−1 + ui , i =1 , i = 2,..,20 ui iid N (0, σ 2 ) , i = 1,..,20 : with parameters β0 = 1 , β1 = 0.8 , σ = 2 30 25 20 15 10 5 0 -5 -10 0 2 4 6 8 10 ρ=0 12 14 16 18 20 25 20 15 10 5 0 -5 0 2 4 6 8 10 ρ=0 12 14 16 18 20 40 35 30 25 20 15 10 5 0 -5 0 2 4 6 8 10 ρ=0 12 14 16 18 20 30 20 10 0 -10 -20 -30 0 2 4 6 8 10 ρ = .8 12 14 16 18 20 30 25 20 15 10 5 0 0 2 4 6 8 10 ρ = .8 12 14 16 18 20 45 40 35 30 25 20 15 10 5 0 0 2 4 6 8 10 ρ = .8 12 14 16 18 20 ...
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This note was uploaded on 09/14/2011 for the course ESE 502 taught by Professor Ese502 during the Fall '08 term at UPenn.

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Regression_Example - REGRESSION EXAMPLE • Given data...

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