LSE的Dougherty计量经济学教材英文版chapter3.Image.Marked.pdf

3 PROPERTIES OF THE REGRESSION COEFFICIENTS AND HYPOTHESIS TESTING With the aid of regression analysis we can obtain estimates of the parameters of a relationship. However, they are only estimates. The next question to ask is, how reliable are they? We shall answer this first in general terms, investigating the conditions for unbiasedness and the factors governing their variance. Building on this, we shall develop a means of testing whether a regression estimate is compatible with a specific prior hypothesis concerning the true value of a parameter, and hence we shall derive a confidence interval for the true value, that is, the set of all hypothetical values not contradicted by the experimental result. We shall also see how to test whether the goodness of fit of a regression equation is better than might be expected on the basis of pure chance. 3.1 The Random Components of the Regression Coefficients A least squares regression coefficient is a special form of random variable whose properties depend on those of the disturbance term in the equation. This will be demonstrated first theoretically and then by means of a controlled experiment. In particular, we will investigate the implications for the regression coefficients of certain assumptions concerning the disturbance term. Throughout the discussion we shall continue to work with the simple regression model where y depends on x according to the relationship y = α + βx + u (3.1) and we are fitting the regression equation ˆ (3.2) y = a + bx given a sample