Slides_Econ140A_Multiple_Regression

Slides_Econ140A_Multiple_Regression - 10/20/2011 1 Multiple...

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Unformatted text preview: 10/20/2011 1 Multiple Regression Copyright Dick Startz 1 Goals • Properties of a multiple regression • Multicollinearity • What makes for a tight estimate of ? in a multiple regression? • F- tests Copyright Dick Startz 2 Multiple regression ? ? = ? 1 ¡ 1? + ? 2 ¡ 2? + ⋯ + ? ¢ ¡ ¢? + ? £ right hand side variables. Copyright Dick Startz 3 Multiple Regression Assumptions and results ¤. ? ? = ? 1 ¡ ?1 + ? 2 ¡ ?2 + ⋯ + ? ¢ ¡ ?¢ + ? , true model of DGP ¥. nonrandom (or exogenous), not perfectly collinear 3. ¦ ? = 0 ∀§ Least squares is unbiased ¦ ? ¨ 1 = ? 1 ⋮ ¦ ? ¨ ¢ = ? ¢ Copyright Dick Startz 4 More assumptions and results 4. Homoskedasticity ¦ ? © = ª 2 , § = « 0, § ≠ « There is a (messy) formula for var ? ¨ 1 … var ? ¨ ¢ . And for cov ? ¨ 1 , ? ¨ 2 , cov ? ¨ 1 , ? ¨ ¬ … ....
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This note was uploaded on 12/26/2011 for the course ECON 140a taught by Professor Staff during the Fall '08 term at UCSB.

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Slides_Econ140A_Multiple_Regression - 10/20/2011 1 Multiple...

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