Econometrics-I-14

Cov matrix for b is sigma^2*inv(x'x(x'wx)inv(x'x

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Unformatted text preview: Cov matrix for b is sigma^2*inv(X'X)(X'WX)inv(X'X)--------+------------------------------------------------------------- Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+------------------------------------------------------------- Constant| 2.39133*** .20010 11.951 .0000 LINCOMEP| .88996*** .07358 12.094 .0000 -6.13943 LRPMG| -.89180*** .06119 -14.574 .0000 -.52310 LCARPCAP| -.76337*** .03030 -25.190 .0000 -9.04180--------+------------------------------------------------------------- ˜˜˜˜˜ ˜™ 42/44 Part 14: Generalized Regression Variance Estimates = log[e(i)’e(i)/T] Sigma| .48196*** .12281 3.924 .0001 D1| -2.60677*** .72073 -3.617 .0003 .05556 D2| -1.52919** .72073 -2.122 .0339 .05556 D3| .47152 .72073 .654 .5130 .05556 D4| -3.15102*** .72073 -4.372 .0000 .05556 D5| -3.26236*** .72073 -4.526 .0000 .05556 D6| -.09099 .72073 -.126 .8995 .05556 D7| -1.88962*** .72073 -2.622 .0087 .05556 D8| .60559 .72073 .840 .4008 .05556 D9| -1.56624** .72073 -2.173 .0298 .05556 D10| -1.53284** .72073 -2.127 .0334 .05556 D11| -2.62835*** .72073 -3.647 .0003 .05556 D12| -2.23638*** .72073 -3.103 .0019 .05556 D13| -.77641 .72073 -1.077 .2814 .05556 D14| -1.27341* .72073 -1.767 .0773 .05556 D15| -.57948 .72073 -.804 .4214 .05556 D16| -1.81723** .72073 -2.521 .0117 .05556 D17| -2.93529*** .72073 -4.073 .0000 .05556 ˜˜˜˜˜ ˜™ 43/44 Part 14: Generalized Regression OLS vs. Iterative FGLS Looks like a substantial gain in reduced standard errors--------+------------------------------------------------------------- Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+------------------------------------------------------------- |Ordinary Least Squares |Cov matrix for b is sigma^2*inv(X'X)(X'WX)inv(X'X) Constant| 2.39133*** .20010 11.951 .0000 LINCOMEP| .88996*** .07358 12.094 .0000 -6.13943 LRPMG| -.89180*** .06119 -14.574 .0000 -.52310 LCARPCAP| -.76337*** .03030 -25.190 .0000 -9.04180--------+------------------------------------------------------------- |Regression (mean) function Constant| 1.56909*** .06744 23.267 .0000 LINCOMEP| .60853*** .02097 29.019 .0000 -6.13943 LRPMG| -.61698*** .01902 -32.441 .0000 -.52310 LCARPCAP| -.66938*** .01116 -59.994 .0000 -9.04180 ˜˜˜˜˜ ˜ 44/44...
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Cov matrix for b is sigma^2*inv(X'X(X'WX)inv(X'X Variable|...

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