伍德里奇计量经济学讲义.pptVIP

Economics 20 - Prof. Anderson Assumptions of the Classical Linear Model (CLM) So far, we know that given the Gauss-Markov assumptions, OLS is BLUE, In order to do classical hypothesis testing, we need to add another assumption (beyond the Gauss-Markov assumptions) Assume that u is independent of x1, x2,…, xk and u is normally distributed with zero mean and variance s2: u ~ Normal(0,s2) CLM Assumptions (cont) Under CLM, OLS is not only BLUE, but is the minimum variance unbiased estimator We can summarize the population assumptions of CLM as follows y|x ~ Normal(b0 + b1x1 +…+ bkxk, s2) While for now we just assume normality, clear that sometimes not the case Large samples will let us drop normality Normal Sampling Distributions The t Test The t Test (cont) Knowing the sampling distribution for the standardized estimator allows us to carry out hypothesis tests Start with a null hypothesis For example, H0: bj=0 If accept null, then accept that xj has no effect on y, controlling for other x’s The t Test (cont) t Test: One-Sided Alternatives Besides our null, H0, we need an alternative hypothesis, H1, and a significance level H1 may be one-sided, or two-sided H1: bj 0 and H1: bj 0 are one-sided H1: bj ? 0 is a two-sided alternative If we want to have only a 5% probability of rejecting H0 if it is really true, then we say our significance level is 5% One-Sided Alternatives (cont) Having picked a significance level, a, we look up the (1 – a)th percentile in a t distribution with n – k – 1 df and call this c, the critical value We can reject the null hypothesis if the t statistic is greater than the critical value If the t statistic is less than the critical value then we fail to reject the null One-sided vs Two-sided Because the t distribution is symmetric, testing H1: bj 0 is straightforward. The critical value is just the negative of before We can reject the null if the t statistic –c, and if the t statistic than –c then we fail to rejec