计量经济第三章节3-2.ppt

Intermediate Econometrics, Yan Shen Multiple Regression Analysis: Estimation (2)多元回归分析：估计（2） y = b0 + b1x1 + b2x2 + . . . bkxk + u Chapter Outline 本章大纲 Motivation for Multiple Regression 使用多元回归的动因 Mechanics and Interpretation of Ordinary Least Squares 普通最小二乘法的操作和解释 The Expected Values of the OLS Estimators OLS估计量的期望值 The Variance of the OLS Estimators OLS估计量的方差 Efficiency of OLS: The Gauss-Markov Theorem OLS的有效性：高斯－马尔科夫定理 Lecture Outline 课堂大纲 The MLR.1 – MLR.4 Assumptions 假定MLR.1 – MLR.4 The Unbiasedness of the OLS estimates OLS估计值的无偏性 Over or Under specification of models 模型设定不足或过度设定 Omitted Variable Bias 遗漏变量的偏误 Sampling Variance of the OLS slope estimates OLS斜率估计量的抽样方差 The expected value of the OLS estimatorsOLS估计量的期望值 We now turn to the statistical properties of OLS for estimating the parameters in an underlying population model. 我们现在转向OLS的统计特性，而我们知道OLS是估计潜在的总体模型参数的。 Statistical properties are the properties of estimators when random sampling is done repeatedly. We do not care about how an estimator does in a specific sample. 统计特性是估计量在随机抽样不断重复时的性质。我们并不关心在某一特定样本中估计量如何。 Assumption MLR.1 (Linear in Parameters)假定 MLR.1（对参数而言为线性） In the population model (or the true model), the dependent variable y is related to the independent variable x and the error u as 在总体模型(或称真实模型）中，因变量y与自变量x和误差项u关系如下 y= b0+ b1x1+ b2x2+ …+bkxk+u (3.31) where b1, b2 …, bk are the unknown parameters of interest, and u is an unobservable random error or random disturbance term. 其中， b1, b2 …, bk 为所关心的未知参数，u为不可观测的随机误差项或随机干扰项。 Assumption MLR.2 (Random Sampling)假定 MLR.2（随机抽样性） We can use a random sample of size n from the population, 我们可以使用总体的一个容量为n的随机样本 {(xi1, xi2…, xik; yi): i=1,…,n}， where i denotes observation, and j= 1,…,k denotes the jth regressor. 其中i 代表观察，j=1,…,k代表第j个回归元 Sometimes we write 有时我们将模型写为 yi= b0+ b1xi1+ b2xi2+ …+bkxik+ui (3.32) Assumption MLR.3 假定MLR.3 MLR.3 (No perfect collinearity) （不存在完全共线性） : In the sample, none of the independent var