- 1、本文档共82页,可阅读全部内容。
- 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
Lecture 9:Fitting Data vs. Estimating a Model Least Squares Derivation of OLS (Chapter 5.7) R2(Chapter 5.5) Superfluous Variables (Chapter 8.1) Omitted Variables (Chapter 8.2) Review To test a null hypothesis, we: Assume the null hypothesis is true; Calculate a test statistic, assuming the null hypothesis is true; Reject the null hypothesis if we would be very unlikely to observe the test statistic under the null hypothesis. Six Steps to Hypothesis Testing State the null and alternative hypotheses. Choose a test statistic (so far, we have learned the t-test). Choose a significance level, the probability of a Type I Error (typically 5%). Six Steps to Hypothesis Tests (cont.) Find the critical region for the test (for a 2-sided t-test at the 5% level in large samples, the critical value is t* = 1.96). Calculate the test statistic. Reject the null hypothesis if the test statistic falls within the critical region. Today’s Agenda The Least Squares Derivation of OLS (Chapter 5.7) Goodness of Fit Measure: R2 (Chapter 5.5) Superfluous Variables (Chapter 8.1) Omitted Variables (Chapter 8.2) Fitting a Line to Data (Chapter 5.7) So far, we have interpreted our estimators as “best guesses” of the true underlying parameters of the Data Generating Process. Our economic model (the DGP) has been central to our derivation of our estimators. Fitting a Line to Data (cont.) The Gauss–Markov Theorem states that, under the Gauss–Markov DGP, our Ordinary Least Squares estimator is the Best Linear Unbiased Estimator. Fitting a Line to Data (cont.) We could also interpret Ordinary Least Squares as the best way to summarize the particular dataset in front of us, without consideration of an economic model. Suppose we simply want to find the “best” line to fit a scatterplot of (X,Y ) points. What makes a line “best”? Fitting a Line to Data (cont.) A good line should be as close as possible to all the points. The vertical distance between the line and each point is called the
文档评论(0)