Lab 6 Sampling Distribution for OLS Estimators

Lab 6 Sampling Distribution for OLS Estimators - Lab 6:...

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Lab 6: Sampling Distributions for OLS Estimators Objectives: The OLS estimators 0 ˆ β and 1 ˆ are random variables – they have sampling distributions . In order to proceed from point estimation to interval estimation, we need to know about the sampling distributions of these estimators. In lab we’re going to do a sampling experiment again. You will each create two random samples from a population. You will then estimate the two population parameters 01 and using the OLS estimators ˆˆ and . The OLS estimators are point estimators; we’ll also want to create confidence intervals and test hypotheses. In our experiment, we need to be sure that our Classical Regression Model assumptions hold – we can check to see if our estimators are unbiased and if our “theory” about confidence intervals and hypothesis testing holds. Key Terms: 1. Sampling Distribution . 2. Regression, fitting a line, estimating and . 3. Confidence Intervals 4. Hypothesis tests, Type I Error Data : Lab 6 Template with random seeds.xlsx. (Open, and then save to your U-Drive.) Exercises: Population Regression Function – generating a Population Regression Equation . 1. You’ll find what you need in the worksheet: Sampling Experiment . In our first Classical Regression Model Assumption ( CRMA #1 ), we assume we know the true model. Let’s do that and give the two population parameters real values. Let’s use the following equation for the population regression function (PRF) : [ ] 3.5 1.0 ii E Interest Inflation Inflation =+ .
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This note was uploaded on 12/08/2011 for the course ECON 312 taught by Professor Daniellass during the Winter '10 term at UMass (Amherst).

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Lab 6 Sampling Distribution for OLS Estimators - Lab 6:...

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