管理经济学,英文版4.pptVIP

Chapter 4 Basic Estimation Techniques Simple Linear Regression Method of Least Squares Sample Regression Line (Figure 4.2) Unbiased Estimators The distribution of values the estimates might take is centered around the true value of the parameter An estimator is unbiased if its average value (or expected value) is equal to the true value of the parameter Relative Frequency Distribution* (Figure 4.3) Statistical Significance Must determine if there is sufficient statistical evidence to indicate that Y is truly related to X (i.e., b ? 0) Performing a t-Test First determine the level of significance Probability of finding a parameter estimate to be statistically different from zero when, in fact, it is zero Probability of a Type I Error 1 – level of significance = level of confidence Performing a t-Test Use t-table to choose critical t-value with n – k degrees of freedom for the chosen level of significance n = number of observations k = number of parameters estimated Performing a t-Test If absolute value of t-ratio is greater than the critical t, the parameter estimate is statistically significant Using p-Values Treat as statistically significant only those parameter estimates with p-values smaller than the maximum acceptable significance level p-value gives exact level of significance Also the probability of finding significance when none exists Coefficient of Determination R2 measures the percentage of total variation in the dependent variable that is explained by the regression equation Ranges from 0 to 1 High R2 indicates Y and X are highly correlated F-Test Used to test for significance of overall regression equation Compare F-statistic to critical F-value from F-table Two degrees of freedom, n – k k – 1 Level of significance If F-statistic exceeds the critical F, the regression equation overall is statistically significant Multiple Regression Uses more than one explanatory variable Coefficient for each explanatory variable measures the chan