经济计量课件2.pdf

周一讲座(第一讲) Conceptual issues Eight steps in econometric analysis Revision of important distribution Introduction to OLS technique Classical assumptions (A1-A2) 第二讲 Classical assumptions (A3-A10) 估计参数值可靠性 (reliability) 估计参数特性(properties) Goodness of fit Three-variable models 2 A3: zero mean value (零均值假定) of disturbance ?i Given the value of Xi, the mean or expected value of the disturbance term ?i is zero: E(?i |Xi ) = 0 3 A4: Equal variance (同方差假定) of ?i (homoscedasticity ) ? Given the value of Xi, the variance of ?i is the same for all observations. 2 That is, Var(?i) = E (?i - E(?i)) 2 2 = E(?i ) = ? 4 PDF (?) Y X X1 X2 X3 Homoscedasticity (equal variance). (equal spread around the means) 5 PDF (?) Y X X1 X2 X3 Heteroscedasticity (异方差 unequal variance) 6 A5. (无自相关假定) No serial correlation or autocorrelation between the disturbances Given any two XiXj, Cov(?i ?j) =0 (i ? j). (covariance 协方差) That is, the correlation between any two ?i and ?j (i ? j) is zero. Alternatively, ?i and ?j are uncorrelated. 7 ? ? ? j j j ? ? ? ? ? ? ? ? ?