11_TwoVariables0830_handout

13 cmu y kryukov standard errors sample counterpart of

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Unformatted text preview: tual σ 2 with estimate σ 2: ˆ [ ˆˆ V β1 | X = ˆ σ2 ∑ (X − X ) ˆ σ∑ X ˆ | X ]= ˆ V [β N ∑ (X − X ) ˆ σ∑ X ˆˆˆ ˆ ˆ cov[β , β | X ] = − N ∑ (X − X ) N 2 i =1 2 i N 2 i =1 0 i N i =1 2 i 2 N i =1 0 1 N i =1 i 2 i p. 13 © CMU / Y. Kryukov Standard errors Sample counterpart of standard deviation: ˆ s.e.( β j ) = Informal “rule of thumb”: ˆ ˆ If β j ≥ 2 * s.e.( β j ) , it is likely that . . . . . . i.e. xj has a meaningful effect on y. This is a simplified version of a formal statistical test (which we will derive later) Software reports s.e. along with coefficients p. 14 © CMU /...
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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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