第六讲多元线性回归.pptVIP

SIB,BFSU ECONOMETRICS LECTURE 6 第六讲 多元回归分析Multiple Regression Analysis MULTIPLE REGRESSION WITH TWO EXPLANATORY VARIABLES: EXAMPLE GRAPHING A RELATIONSHIP IN A MULTIPLE REGRESSION MODEL PROPERTIES OF THE MULTIPLE REGRESSION COEFFICIENTS MULTIPLE REGRESSION WITH TWO EXPLANATORY VARIABLES: EXAMPLE Then Problem Set 5 1 Does educational attainment depend on parents’ education? Regress S on ASVABC and SM, the years of schooling of the respondent’s mother. Repeat the regression using ASVABC and SF, the years of schooling of the respondent’s father. Interpret the results and perform t tests both at 5% and 1% significance level. There is a saying that if you educate a male, you educate an individual, while if you educate a female, you educate a nation. Do your regression results support this view? Problem Set 5 2 Repeat the teacher’s regression in ‘GRAPHING A RELATIONSHIP IN A MULTIPLE REGRESSION MODEL’. PROPERTIES OF THE MULTIPLE REGRESSION COEFFICIENTS E[Cov(X2, u)] and E[Cov(X3, u)] are both zero for the same reasons that E[Cov(X, u)] was zero in the simple regression model .Hence E(b2) is equal to b2 and so b2 is an unbiased estimator. Similarly for b3. PROPERTIES OF THE MULTIPLE REGRESSION COEFFICIENTS Finally we will show that b1 is an unbiased estimator of b1. First substitute for the sample mean of Y. PROPERTIES OF THE MULTIPLE REGRESSION COEFFICIENTS Hence b1 is an unbiased estimator of b1. * MULTIPLE REGRESSION WITH TWO EXPLANATORY VARIABLES: EXAMPLE EARNINGS ASVABC S b1 EARNINGS = b1 + b2S + b3ASVABC + u This sequence provides a geometrical interpretation of a multiple regression model with two explanatory variables. Specifically, we will look at an earnings function model where hourly earnings, EARNINGS, depend on years of schooling (highest grade completed), S, and a measure of cognitive ability, ASVABC. MULTIPLE REGRESSION WITH TWO EXPLANATORY VARIABLES: EXAMPLE EARNINGS ASVABC S b1 EARNINGS = b1 + b2S + b3ASVABC + u The model has three