北大计量经济学讲义-第三讲.ppt

Intermediate Econometrics, Yan Shen Multiple Regression Analysis: Estimation(1)多元回归分析：估计（1） y = b0 + b1x1 + b2x2 + . . . bkxk + u Chapter Outline 本章大纲 Motivation for Multiple Regression 使用多元回归的动因 Mechanics and Interpretation of Ordinary Least Squares 普通最小二乘法的操作和解释 The Expected Values of the OLS Estimators OLS估计量的期望值 The Variance of the OLS Estimators OLS估计量的方差 Efficiency of OLS: The Gauss-Markov Theorem OLS的有效性：高斯－马尔科夫定理 Lecture Outline 课堂大纲 Motivation for multivariate Analysis 使用多元回归的动因 The Model 模型 The Estimation 估计 Properties of the OLS estimates OLS估计的性质 The Partialling out Interpretation 对“排除其它变量影响”的解释 Simple versus multiple regressions 比较简单回归模型与多元回归模型 Goodness of Fit 拟合优度 Motivation: Advantage 动因：优点 The primary drawback of the simple regression analysis for empirical work is that it is very difficult to draw ceteris paribus conclusions about how x affects y. 在实证工作中使用简单回归模型的主要缺陷是：要得到在其它条件不变的情况下， x对y的影响非常困难。 Whether the ceteris paribus effects are reliable or not depends on whether the conditional mean assumption is realistic. 在其它条件不变情况假定下我们估计出的x对y的影响值是否可信依赖，完全取决于条件均值零值假设是否现实。 If other factors that affecting y are not correlated with x, changing x can ensure that u is not changed, and the effect of x on y can be identified. 如果影响y的其它因素与x不相关，则改变x可以保证u不变，从而x对y的影响可以被识别出来。 Motivation : Advantage动因：优点 Multiple regression analysis is more amenable to ceteris paribus analysis because it allows us to explicitly control for many other factors that simultaneously affect the dependent variable. 多元回归分析更适合于其它条件不变情况下的分析，因为多元回归分析允许我们明确地控制许多其它也同时影响因变量的因素。 Multiple regression models can accommodate many explanatory variables that may be correlated. 多元回归模型能容许很多解释变量，而这些变量可以是相关的。 Important for drawing inference about causal relations between y and explanatory variables when using non-experimental data. 在使用非实验数据时，多元回归模型对推断y与解释变量间的因果关系很重要。 Motivation : Advantage动因：优点 It can explain more of the variation in the dependent variable. 它可以解释更多的因变量变动。 It