计量经济学（北京大学，陈东）02_classical_regression.pdfVIP

Topic 2: Classical Multivariate Regression Models Advanced Econometrics (I) Dong Chen School of Economics, Peking University 1 Model Specification Our interest lies in the following model y = β x + β x + ... + β x + ε. (1.1) 1 1 2 2 K K Model (1.1) expresses a relationship for the population. To estimate the pa- rameters in the model, we obtain a sample of size n. For the ith observation, we can write the model as y = β x + β x + ... +