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Lecture ４ Basic Econometrics Ⅱ

Lecture ４ Basic Econometrics Ⅱ. 1.Assumption. ① Data Generation Process ② for all i ③ for all i ④ for i ≠j ⑤ for all i,j ⑥. 2.Statistical Properties of OLS Estimator:. Let =. Conclusion 1. Conclusion 2.

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Lecture ４ Basic Econometrics Ⅱ

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  1. Lecture ４ Basic Econometrics Ⅱ

  2. 1.Assumption • ① Data Generation Process • ② for all i • ③ for all i • ④ for i≠j • ⑤ for all i,j • ⑥

  3. 2.Statistical Properties of OLS Estimator: Let =

  4. Conclusion 1

  5. Conclusion 2

  6. Conclusion 3

  7. 3.Guass-Markow Theorem: • B is the Best, Linear, Unbiased, Estimator (BLUE)

  8. 4.Distribution of ESS :

  9. 5.Statistical Inference ofβ • b~N

  10. case1 .given & • ①the confidence interval for β

  11. ②hypothesis testing

  12. CASE2: unknown

  13. Hypothesis testing H0:

  14. Significance Test for β • ⑴ if then accept • ⑵ if then reject

  15. define • then

  16. 6.statistical inference of α • the similar as b, but • ⑴ given

  17. statistical inference of α • ⑵ unknown

  18. 7.how to predict yi when xi is given

  19. how to predict yi when xi is given

  20. how to predict yi when xi is given

  21. 预测区间

  22. The end

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