国外伍德里奇计量经济学课件ch02章节.pptVIP

Economics 20 - Prof. Anderson The Simple Regression Model y = b0 + b1x + u Some Terminology In the simple linear regression model, where y = b0 + b1x + u, we typically refer to y as the Dependent Variable, or Left-Hand Side Variable, or Explained Variable, or Regressand Some Terminology, cont. In the simple linear regression of y on x, we typically refer to x as the Independent Variable, or Right-Hand Side Variable, or Explanatory Variable, or Regressor, or Covariate, or Control Variables A Simple Assumption The average value of u, the error term, in the population is 0. That is, E(u) = 0 This is not a restrictive assumption, since we can always use b0 to normalize E(u) to 0 Zero Conditional Mean We need to make a crucial assumption about how u and x are related We want it to be the case that knowing something about x does not give us any information about u, so that they are completely unrelated. That is, that E(u|x) = E(u) = 0, which implies E(y|x) = b0 + b1x Ordinary Least Squares Basic idea of regression is to estimate the population parameters from a sample Let {(xi,yi): i=1, …,n} denote a random sample of size n from the population For each observation in this sample, it will be the case that yi = b0 + b1xi + ui Deriving OLS Estimates To derive the OLS estimates we need to realize that our main assumption of E(u|x) = E(u) = 0 also implies that Cov(x,u) = E(xu) = 0 Why? Remember from basic probability that Cov(X,Y) = E(XY) – E(X)E(Y) Deriving OLS continued We can write our 2 restrictions just in terms of x, y, b0 and b1 , since u = y – b0 – b1x E(y – b0 – b1x) = 0 E[x(y – b0 – b1x)] = 0 These are called moment restrictions Deriving OLS using M.O.M. The method of moments approach to estimation implies imposing the population moment restrictions on the sample moments What does this mean? Recall that for E(X), the mean of a population distribution, a sample estimator of E(X) is simply the arithmetic mean of the sample More D