第2章多元回归分析.ppt

第二章　多元回归分析:估计 y = b0 + b1x1 + b2x2 + . . . bkxk + u Multiple Regression Analysis y = b0 + b1x1 + b2x2 + . . . bkxk + u 1. Estimation Parallels with Simple Regression y = b0 + b1x1 + b2x2 + . . . bkxk + u b0 is still the intercept b1 to bk all called slope parameters u is still the error term (or disturbance) Still need to make a zero conditional mean assumption, so now assume that E(u|x1,x2, …,xk) = 0 Still minimizing the sum of squared residuals, so have k+1 first order conditions Obtaining OLS Estimates Obtaining OLS Estimates, cont. The above estimated equation is called the OLS regression line or the sample regression function (SRF) the above equation is the estimated equation, is not the really equation. The really equation is population regression line which we don’t know. We only estimate it. So, using a different sample, we can get another different estimated equation line. The population regression line is Interpreting Multiple Regression An Example (Wooldridge, p76) The determination of wage (dollars per hour), wage: Years of education, educ Years of labor market experience, exper Years with the current employer, tenure The relationship btw. wage and educ, exper, tenure: wage=b0+b1educ+b2exper+b3tenure+u log(wage)=b0+b1educ+b2exper+b3tenure+u The estimated equation as below: wage=-2.873+0.599educ+0.022exper+0.169tenure log(wage)=0.284+0.092educ+0.0041exper+0.022tenure The STATA command Use [path]wage1.dta (insheet using [path]wage1.raw/wage1.txt) Reg wage educ exper tenure Reg lwage educ exper tenure A “Partialling Out” Interpretation “Partialling Out” continued Previous equation implies that regressing y on x1 and x2 gives same effect of x1 as regressing y on residuals from a regression of x1 on x2 This means only the part of xi1 that is uncorrelated with xi2 are being related to yi so we’re estimating the effect of x1 on y after x2 has been “partialled out” The wage determinations The estimated equation as below: wage=-2.873+0.599educ+0.022exper+