Econometrics-计量经济学课件-Topic-5-SRM-3.pptVIP

* X 2.0+0.5X u Y X 2.0+0.5X u Y 1 11 2 12 3 13 4 14 5 15 6 16 7 17 8 18 9 19 10 20 Y = 2.0 + 0.5X + u Here are the values of X, chosen quite arbitrarily. UNBIASEDNESS OF OLS: MONTE CARLO EXPERIMENT * X 2.0+0.5X u Y X 2.0+0.5X u Y 1 2.5 11 7.5 2 3.0 12 8.0 3 3.5 13 8.5 4 4.0 14 9.0 5 4.5 15 9.5 6 5.0 16 10.0 7 5.5 17 10.5 8 6.0 18 11.0 9 6.5 19 11.5 10 7.0 20 12.0 Y = 2.0 + 0.5X + u Given our choice of numbers for b1 and b2, we can derive the non-stochastic component of Y. UNBIASEDNESS OF OLS: MONTE CARLO EXPERIMENT * The non-stochastic component is displayed graphically. UNBIASEDNESS OF OLS: MONTE CARLO EXPERIMENT * X 2.0+0.5X u Y X 2.0+0.5X u Y 1 2.5 -0.59 11 7.5 1.59 2 3.0 -0.24 12 8.0 -0.92 3 3.5 -0.83 13 8.5 -0.71 4 4.0 0.03 14 9.0 -0.25 5 4.5 -0.38 15 9.5 1.69 6 5.0 -2.19 16 10.0 0.15 7 5.5 1.03 17 10.5 0.02 8 6.0 0.24 18 11.0 -0.11 9 6.5 2.53 19 11.5 -0.91 10 7.0 -0.13 20 12.0 1.42 Y = 2.0 + 0.5X + u Next, we generate randomly a value of the disturbance term for each observation using a N(0,1) distribution (normal with zero mean and unit variance). UNBIASEDNESS OF OLS: MONTE CARLO EXPERIMENT * X 2.0+0.5X u Y X 2.0+0.5X u Y 1 2.5 -0.59 1.91 11 7.5 1.59 9.09 2 3.0 -0.24 2.76 12 8.0 -0.92 7.08 3 3.5 -0.83 2.67 13 8.5 -0.71 7.79 4 4.0 0.03 4.03 14 9.0 -0.25 8.75 5 4.5 -0.38 4.12 15 9.5 1.69 11.19 6 5.0 -2.19 2.81 16 10.0 0.15 10.15 7 5.5 1.03 6.53 17 10.5 0.02 10.52 8 6.0 0.24 6.24 18 11.0 -0.11 10.89 9 6.5 2.53 9.03 19 11.5 -0.91 10.59 10 7.0 -0.13 6.87 20 12.0 1.42 13.42 We generate values of Y. Y = 2.0 + 0.5X + u UNBIASEDNESS OF OLS: MONTE CARLO EXPERIMENT * The 20 observa