11_TwoVariables0830_handout

# we need to what is 2 variance

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Unformatted text preview: -a p. 9 © CMU / Y. Kryukov Example 3: 73 2 Au- 2 61 g6 1.1 Two variable OLS - Estimate distribution p. 10 © CMU / Y. Kryukov How do we know σ 2 ? Is σ part of population, data or estimate? ......... We need to . . . . . . . . What is σ 2 ? Variance of u How do you estimate that? Do we observe u? Is it in our data? Can our estimates help us? ... p. 11 © CMU / Y. Kryukov Estimating σ 2 Did we see an estimate of variance before? ˆ Apply to U We can prove that: ∑ N ˆ Ui = i =1 The formula is 1 N ˆ σ= U i2 ∑i =1 ˆ N −2 2 Why (N – 2)? p. 12 © CMU / Y. Kryukov Estimated variance of betas Take variance formulas, Replace ac...
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## This note was uploaded on 01/21/2011 for the course ECON 73-261 taught by Professor Kyrkv during the Fall '09 term at Carnegie Mellon.

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