计量经济第四章4–1.pptVIP

Multiple Regression Analysis: Inference多元回归分析：推断(1) y = b0 + b1x1 + b2x2 + . . . bkxk + u Lecture Outline 本课提纲 CLM assumptions and Sampling Distributions of the OLS Estimators 经典假设与OLS估计量的样本分布 Background review of hypothesis testing 假设检验的背景知识 One-sided and two-sided t tests 单边与双边t检验 Calculating the p values 计算p值 Assumption MLR.6 (Normality)假设MLR.6 （正态） So far, we know that given the Gauss-Markov assumptions, OLS is BLUE, 我们已经知道当Gauss－Markov假设成立时，OLS是最优线性无偏估计。 In order to do classical hypothesis testing, we need to add another assumption (beyond the Gauss-Markov assumptions) 为了进行经典的假设检验，我们要在Gauss－Markov假设之外增加另一假设。 Assumption MLR.6 (Normality): Assume that u is independent of x1, x2,…, xk and u is normally distributed with zero mean and variance s2: u ~ Normal(0,s2) 假设MLR.6 （正态）：假设u与x1, x2,…, xk独立，且u服从均值为0，方差为s2的正态分布。 CLM Assumptions经典线性模型假设 Assumptions MLR.1 – MLR.6 are called the classical linear model (CLM) assumptions. 假设MLR.1-MLR.6被称为经典线性模型假设 We refer to the model under these six assumptions as the classical linear model. 我们将满足这六个假设的模型称为经典线性模型 Under CLM, OLS is not only BLUE, but also the minimum variance unbiased estimator, that is, among linear and nonlinear estimators, OLS estimator gives the smallest variance. 在经典线性模型假设下，OLS不仅是BLUE，而且是最小方差无偏估计量，即在所有线性和非线性的估计量中，OLS估计量具有最小的方差。 CLM Assumptions经典线性模型假设 We can summarize the population assumptions of CLM as follows 我们对总体的经典线性模型假设做个总结 y|x ~ Normal(b0 + b1x1 +…+ bkxk, ,s2) While for now we just assume normality, sometimes this is not the case 尽管现在我们假设了正态，但有时候并不是这种情况 CLM Assumptions经典线性模型假设 What should we do when the normality assumption fails? 如果正态假设不成立怎么办？ Using a transformation, especially taking the log, often yields a distribution that is closer to normal. 通过变换，特别是通过取自然对数，往往可以得到接近于正态的分布。 Theorem 4.1 Normal Sampling Distributions定理4.1 正态样本分布 4.2 Testing Hypotheses about a Single Population Parameter: the t-test 对单个总体参数的假设检验：t检验 Consider a population model (4.2) which