Lecture 12 2010

Lecture 12 2010 - III. SimpleRegression. A. Introduction B.

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1 III. Simple Regression. A. Introduction B. Population Regression Equation C. Sample Regression Equation D. Ordinary Least Squares E. Classical Regression Model. F. Properties of OLS Estimators ( BLUE ) G. Estimator for σ 2 H. Inference (we’ve done this before!) F. Properties of OLS Estimators What properties do we want for our estimators? What are we trying to describe? Unbiased and Min. Variance Sampling Distribution Use expected values to determine Center: Variance: 11 ˆ [] E β = 2 1 ˆˆ () [ ( ) ] Var E ββ =− CRMA # 6 : We assume that the disturbances are normally distributed. Linear combinations of normally distributed variables are also normally distributed. Y is a linear combination of u. OLS estimators linear combinations of Y. OLS estimators are normally distributed.
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2 The Fisher equation for interest rates: Nominal Rate Real Rate + Inflation . In the real world, this will not be an exact lt i h i Lt it it i dl relationship. Let’s write it as a regression model where the
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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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Lecture 12 2010 - III. SimpleRegression. A. Introduction B.

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