北大高级计量1.pdfVIP

中级计量经济学 INTERMEDIATE ECONOMETRICS 简单多元回归推断之一 Chapter Outline  Sampling Distributions of the OLS Estimators  Testing Hypothesis About a Single Population Parameter: The t test  Confidence Intervals  Testing Hypotheses About a Single Linear Combination of the Parameters  Testing Multiple Linear Restrictions: The F Test  Reporting Regression Results 北京大学中国经济研究中心沈艳 2 Lecture Outline  Sampling Distributions: Review  CLM assumptions and Sampling Distributions of the OLS Estimators  Background review of hypothesis testing  One-sided and two-sided t tests  Calculating the p values 北京大学中国经济研究中心沈艳 3 Sampling Distribution: Review 抽样分布:复习  Sampling distributions play a central role in the development of statistical and econometric procedures.  It is the probability distribution of an estimator over all possible outcomes.  There are two approaches charactering sampling distributions: an “exact”approach and an “approximate” approach. 抽样分布在统计学和计量经济学发展中具有核心地位.指一个估 计量在其所有可能取值上的概率分布.刻画抽样分布有两种方式： “准确”方式和 “近似”方式 北京大学中国经济研究中心沈艳 4 Sampling Distribution: finite-sample distribution  The “exact”approach: derives a formula for the sampling distribution that holds for any value of n.  Such distribution is called the exact distribution or finite -sample distribution.  For example, if y is normally distributed, and y , y , …, 1 2 y n are i.i.d, then their average has an exact distribution of normal