Unformatted text preview: -a p. 9
© CMU / Y. Kryukov Example 3: 73 2 Au- 2
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?
© CMU / Y. Kryukov Estimating σ 2
Did we see an estimate of variance before? ˆ
Apply to U
We can prove that: ∑ N ˆ
i =1 The formula is 1
∑i =1 ˆ
2 Why (N – 2)?
© CMU / Y. Kryukov Estimated variance of betas
Take variance formulas,
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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.
- Fall '09