一元回归模型 上海师范大学金融学院教学课件.pdf

September 30, 2011 1 Definition : OLS 2 t ∼ N (0, σ ) OLS 2 t ∼ N (0, σ ) 0 E ( ) = 0 t OLS 2 t ∼ N (0, σ ) 0 E ( ) = 0 t σ2 D ( ) = σ2 t OLS 2 t ∼ N (0, σ ) 0 E ( ) = 0 t σ2 D ( ) = σ2 t 0 cov ( , ) = 0 i j OLS 2 t ∼ N (0, σ ) 0 E ( ) = 0 t σ2 D ( ) = σ2 t 0 cov ( , ) = 0 i j 0 cov ( ,