截面与面板数据法分析–CH3”.pptVIP

Chap 3. Multiple Regression Analysis：Estimation Advantages of multiple regression analysis build better models for predicting the dependent variable. E.g. generalize functional form. Marginal propensity to consume Be more amenable to ceteris paribus analysis Key assumption: Implication: other factors affecting wage are not related on average to educ and exper. Multiple linear regression model: OLS Estimator OLS: Minimize ceteris paribus interpretations: Holding fixed, then Thus, we have controlled for the variables when estimating the effect of x1 on y. Holding Other Factors Fixed The power of multiple regression analysis is that it provides this ceteris paribus interpretation even though the data have not been collected in a ceteris paribus fashion. it allows us to do in non-experimental environments what natural scientists are able to do in a controlled laboratory setting: keep other factors fixed. OLS and Ceteris Paribus Effects measures the effect of x1 on y after x2,…, xk have been partialled or netted out. Two special cases in which the simple regression of y on x1 will produce the same OLS estimate on x1 as the regression of y on x1 and x2. --The partial effect of x2 on y is zero in the sample. That is, -- x1 and x2 are uncorrelated in the sample. --Example Goodness-of-fit R-sq also equal the squared correlation coef. between the actual and the fitted values of y. R-sq never decreases, and it usually increases when another independent variable is added to a regression. The factor that should determine whether an explanatory variable belongs in a model is whether the explanatory variable has a nonzero partial effect on y in the population. The Expectation of OLS Estimator Assumption 1-4 Linear in parameters Random sampling Zero conditional mean No perfect co-linearity none of the independent variables is constant; and there are no exact linear relationships a