四多元回归_推断.pptVIP

Intermediate Econometrics, Yan Shen Multiple Regression Analysis: Inference多元回归分析：推断(1) y = b0 + b1x1 + b2x2 + . . . bkxk + u Chapter Outline 本章提纲 Sampling Distributions of the OLS Estimators OLS估计量的样本分布 Testing Hypothesis About a Single Population Parameter: The t test 单个总体参数的假设检验：t检验 Confidence Intervals 置信区间 Testing Hypotheses About a Single Linear Combination of the Parameters 参数线性组合的假设检验（一维情形） Testing Multiple Linear Restrictions: The F Test 多个线性约束的假设检验：F检验 Reporting Regression Results 报告回归结果 Lecture Outline 本课提纲 Sampling Distributions: Review 样本分布：复习 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 Sampling Distribution: Review样本分布：复习 Simple random sampling is the case where n objects are selected at random from a population, and each member of the population is equally likely to be included in the sample. 简单随机抽样是指从总体中随机取样n次，使得总体中的每个元素在样本中的出现的可能性相同。 When y1, y2,…, yn are drawn from the same distribution and are independently distributed, they are said to be independently and identically distributed, or i.i.d. 如果y1, y2,…, yn 来自于同一分布且相互独立，则称这一组随机变量独立同分布（i.i.d.） Sampling Distribution: Review样本分布：复习 Sampling distributions play a central role in the development of statistical and econometric procedures. 样本分布在统计学和计量经济学发展中具有核心地位 It is the probability distribution of an estimator over all possible outcomes. 它是指一个估计量在其所有可能取值上的概率分布 There are two approaches charactering sampling distributions: an “exact” approach and an “approximate” approach. 刻画样本分布的两种方式：“准确”方式和“近似”方式 Sampling Distribution: Review样本分布：复习 The “exact” approach entails deriving a formula for the sampling distribution that holds exactly for any value of n. “准确”方式需要对任何n的取值都得到样本分布的精确表达式。 Such distribution is called the exact distribution or finite-sample distribution. 这样的分布被称为小样本（有限样本）的准确 分布 For example, if y is normally distr