第3章 多元回归分析：假设检验.ppt

第三章　多元回归分析Multiple Regression Analysis 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, which means that OLS has the smallest variance among unbiased estimators; we no longer have to