计量经济学英文课件.pptVIP

Assumptions of the Classical Linear Model (CLM) So far, we know that given the Gauss-Markov assumptions, OLS is BLUE, In order to do classical hypothesis testing, we need to add another assumption (beyond the Gauss-Markov assumptions) Assume that u is independent of x1, x2,…, xk and u is normally distributed with zero mean and variance s2: u ~ Normal(0,s2) CLM Assumptions (cont) Under CLM, OLS is not only BLUE, but is the minimum variance unbiased estimator We can summarize the population assumptions of CLM as follows y|x ~ Normal(b0 + b1x1 +…+ bkxk, s2) While for now we just assume no