Slides_Econ140A_Regression_Continued

Slides_Econ140A_Regression_Continued - Regression continued...

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Unformatted text preview: Regression continued Copyright Dick Startz 1 Goals Prove OLS is unbiased Derive variance Hypothesis tests t- test versus z More on reading what a regression really tells us Copyright Dick Startz 2 Regression as a theoretical model Assumptions 1. ? ? = ? + ? , true model of DGP 2. nonrandom (or exogenous) 3. ? ? = 0 4. ? ? = , = 0, 5. (sometimes) ~???? Copyright Dick Startz 3 Substitute in the DGP ? = ? ? 2 = ?? + ? ? 2 = ?? 2 + ? ? 2 ? = ? + ? ? 2 ? = ? + 1 ? 1 ? 2 + 2 ? 2 ? 2 + + ? ? 2 Copyright Dick Startz 4 Prove OLS is unbiased ? = ? + 1 ? 1 ? 2 + 2 ? 2 ? 2 + + ? ? 2 ? ? = ? + ? 1 ? 1 ? 2 + ? 2 ? 2 ? 2 + + ? ? ? 2 ? ? = ? + 0 + 0 + 0 = ?...
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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_Regression_Continued - Regression continued...

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