《计量经济学导论》ch3.pptVIP

Chapter 3 ;Multiple RegressionAnalysis: Estimation;Motivation for multiple regression Incorporate more explanatory factors into the model Explicitly hold fixed other factors that otherwise would be in Allow for more flexible functional forms Example: Wage equation;Example: Average test scores and per student spending Per student spending is likely to be correlated with average family income at a given high school because of school financing Omitting average family income in regression would lead to biased estimate of the effect of spending on average test scores In a simple regression model, effect of per student spending would partly include the effect of family income on test scores;Example: Family income and family consumption Model has two explanatory variables: inome and income squared Consumption is explained as a quadratic function of income One has to be very careful when interpreting the coefficients:;Example: CEO salary, sales and CEO tenure Model assumes a constant elasticity relationship between CEO salary and the sales of his or her firm Model assumes a quadratic relationship between CEO salary and his or her tenure with the firm Meaning of ?linear“ regression The model has to be linear in the parameters (not in the variables);OLS Estimation of the multiple regression model Random sample Regression residuals Minimize sum of squared residuals;Interpretation of the multiple regression model The multiple linear regression model manages to hold the values of other explanatory variables fixed even if, in reality, they are correlated with the explanatory variable under consideration ?Ceteris paribus“-interpretation It has still to be assumed that unobserved factors do not change if the explanatory variables are changed;Example: Determinants of college GPA Interpretation Holding ACT fixed, another point on high school grade point average is associated with another .453 points college grade point average Or: If we compare two students with the same ACT, b