Ch4_和Multiple_Regression_Analysis_Inference_C.pptVIP

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2017-01-20 发布于北京
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Ch4_和Multiple_Regression_Analysis_Inference_C.ppt

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Introduction to Econometrics 杨冠琼北京师范大学管理学院 ygq@bnu.edu.cn When you can measure what you are speaking about, and express it in numbers, you know something about it; when you cannot measure it, when you cannot measure it in numbers, your knowledge is of a meager and unsatisfactory kind; it may be the beginning of knowledge, but you have scarcely, in your thoughts, advanced to the stage of science. Lord Kelvin Chapter FourMultiple Regression Analysis: Inference 第四章多元回归分析：统计推断 LECTURE HIGHLIGHTS OLS的分布估计量的性质单总体参数检验： t-检验置信区间参数线性组合的假设检验多线性约束检验： F-检验回归结果的报告 4.1 OLS 估计量的样本分布正态性假设（The Normality Assumption） MLR.假设6 (NORMALITY) 总体误差项 u 独立于自变量，而且服从正态分布。经典线性模型假设（the classical linear model (CLM) assumptions） the classical linear model the Minimum variance unbiased estimators A succinct way to summarize the population assumptions of CLM is When you can measure what you are speaking about, and express it in numbers, you know something about it; when you cannot measure it, when you cannot measure it in numbers, your knowledge is of a meager and unsatisfactory kind; it may be the beginning of knowledge, but you have scarcely, in your thoughts, advanced to the stage of science. Lord Kelvin 正态性检验（Descriptive Statistics） Histogram Descriptive Statistics 中位数：The median is a measure of central tendency which is more robust to errors or unusually extreme data points than is the mean. 斜度：Skewness is a statistic that provides usefull information about the symmetry of a probability distribtution. Descriptive Statistics 峰度：Kurtosis provides a measure of the “thickness” of the tails of a distribution. Jarque-Bera statistic THEOREM 4.1 (正态抽样分布NORMAL SAMPLING DISTRIBUTIONS) 在MLR.假设1至MLR.假设6的条件下,在自变量样本条件下有 where was given in Chapter 3 [equation (3.51)]. Therefore, 4.2 单参数检验: t-检验 THEOREM 4.2 (标准化估计量的t分布 t DISTRIBUTION FOR THE STANDARDIZED ESTIMTORS) 在M