计量经济三.pptVIP

Multiple Regression Analysis: Estimation(1)多元回归分析：估计（1） y = b0 + b1x1 + b2x2 + . . . bkxk + u Lecture Outline 课堂大纲 Motivation for multivariate Analysis 使用多元回归的动因 The Model 模型 The Estimation 估计 Properties of the OLS estimates OLS估计的性质 The Partialling out Interpretation 对“排除其它变量影响”的解释 Simple versus multiple regressions 比较简单回归模型与多元回归模型 Goodness of Fit 拟合优度 Motivation: An Example动因：一个例子 Consider a simple version of the wage equation for obtaining the effect of education on hourly wage(3.1) 考虑一个简单版本的解释教育对小时工资影响的工资方程。 exper: years of labor market experience exper：在劳动力市场上的经历，用年衡量 In this example experience is explicitly taken out of the error term. 在这个例子中，“在劳动力市场上的经历”被明确地从误差项中提出。 The Model with k Independent Variables含有k个自变量的模型 The general multiple linear regression model can be written as 一般的多元线性回归模型可以写为(3.6) Parallels with Simple Regression类似于简单回归模型 b0 is still the intercept b0仍是截距 b1 to bk all called slope parameters b1到bk都称为斜率参数 u is still the error term (or disturbance) u仍是误差项（或干扰项） Still need to make a zero conditional mean assumption, so now assume that 仍需作零条件期望的假设，所以现在假设 E(u|x1,x2, …,xk) = 0 (3.8) Still minimizing the sum of squared residuals, so have k+1 first order conditions 仍然最小化残差平方和，所以得到k+1个一阶条件 Obtaining the OLS Estimates如何得到OLS估计值 The method of ordinary least squares chooses the estimates to minimize the sum of squared residuals,(3.12) 普通最小二乘法选择能最小化残差平方和的估计值， Obtaining the OLS Estimates如何得到OLS估计值 Obtaining the OLS Estimates如何得到OLS估计值 After estimation we obtain the OLS regression line, or the sample regression function (SRF) (3.16)和(3.17) 在估计之后，我们得到OLS回归线，或称为样本回归方程（SRF） Interpreting Multiple Regression对多元回归的解释 Example: Determinants of College GPA例子：大学GPA的决定因素(EXAMPLE 3.1) Two-independent-variable regression 两个解释变量的回归 pcolGPA: predicted values of college grade point average pcolGPA:大学绩点预测值 hsGPA : high school GPA hsGPA : 高中绩点 ACT : achievement test score ACT :成绩测验分数 pcolGPA