FiniteSamplePropertiesoftheLeastSquaresEstimator文件材料.ppt

Applied Econometrics;Applied Econometrics;Deriving the Properties;Properties of the LS Estimator;The Left Out Variable Formula;The Extra Variable Formula;Application: Left out Variable;Estimated ‘Demand’ Equation;Multiple Regression;Fixed X or Conditioned on X?;Specification Errors-1;Omitted Variables;Specification Errors-2;Other Models;Applied Econometrics;Applied Econometrics;Context;Estimating ?2;Expectation of e’e;Method 1:;Estimating σ2;Method 2: Some Matrix Algebra;Decomposing M;Example: Characteristic Roots of a Correlation Matrix;Var[b|X];Regression Results;X’X;Bootstrapping;Bootstrap Application;+--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |t-ratio |P[|T|t]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ Constant| 7 6 1.277 .2104 Y | 12.955 .0000 9232.86111 PG | -8 1 -6.558 .0000 2Completed 20 bootstrap iterations. +------------------------------------------+ | Results of bootstrap estimation of model.| | Model has been reestimated 20 times. | | Means shown below are the means of the | | bootstrap estimates. Coefficients shown | | below are the original estimates based | | on the full sample. | | bootstrap samples have 36 observations.| +------------------------------------------+ +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|z]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ B001 | 7 6 1.184 .2365 4 B002 | 10.859 .0000 B003 | -8 1 -4.552 .0000 -9Bootstrap Replications;Multicollinearity;Variance of a Least Squares Coefficient Estimator;Multi