Økonometri The regression model OLS Regression

ØkonometriThe regression modelOLS Regression Ulf H. Olsson Professor of Statistics

Estimator • An estimator is a rule or strategy for using the data to estimate the parameter. It is defined before the data are drawn. • The search for good estimators constitutes much of econometrics • Finite/Small sample properties • Large sample or asymptotic properties • An estimator is a function of the observations, an estimator is thus a sample statistic- since the x’s are random so is the estimator Ulf H. Olsson

Small sample properties Les 229-230 Ulf H. Olsson

Large-sample properties Ulf H. Olsson

OLS Regression parameter St.error T-value P-value Confidence interval R-sq R-sq.adj F-value The error term Regression analysis Ulf H. Olsson

Y is stochastic, x1, x2,….,xk are not Linearity in the parameters The error term has const.variance The error term is norm. Distributed with expectation equal to zero The error terms are independent The x-variables are linearly independent Classical Assumptions (Les 6.1) Ulf H. Olsson

GAUSS-MARKOV • OLS is BLUE given the Classical Assumptions • B = Best • L=Linear • U=Unbiased • E=Estimator Ulf H. Olsson

Regression Analysis Ulf H. Olsson

OLS – Minste Kvadraters Metode Ulf H. Olsson

OLS Ulf H. Olsson

Økonometri The regression model OLS Regression