11_TwoVariables0830_handout

If assumption holds variance becomes v 1 x 2

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Unformatted text preview: Variance of β1 [ ˆ V β1 | X = Another assumption: V [u | x ] = σ 2 satisfied if u is independent of x. If assumption holds, variance becomes: [ ˆ V β1 | X = σ2 ∑ (X N i =1 −X) 2 i Assumption failure = . . . . . . . . . . . . . . . : estimate OK, but tests are invalid 73 2 Au- 3 61 g1 1.1 Two vriable OLS -a p. 7 © CMU / Y. Kryukov ˆ Mean and Variance of β 0 ˆ β 0 is again a linear function of Yi’s: ˆ =Y −β X = N ˆ β0 ∑i =1 1 Under the same assumptions: ˆ V [β | X ] = ...
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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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