中级计量经济学 第四讲.pptVIP

Multiple regression Analysis Inference 多元回归分析:推断 Bo+ Bx,+ B2x2+ Bkxk+u hapter Outline本章提纲 Sampling distributions of the ols Estimators OIS估计量的样本分布 a Testing Hypothesis About a Single Population Parameter The t test 单个总体参数的假设检验:t检验 Confidence intervals 置信区间 a Testing Hypotheses About a Single Linear Combination of the neters 参数线性组合的假设检验(一维情形) Testing multiple linear restrictions: The FTest 多个线性约束的假设检验:F检验 Reporting Regression Results 报告回归结果 2 Lecture Outline本课提纲 a Sampling distributions: Review 样本分布:复习 CLM assumptions and Sampling distributions of the OLS Estimators 经典假设与OLS估计量的样本分布 Background review of hypothesis testing 假设检验的背景知识 a One-sided and two-sided t tests 单边与双边t检验 Calculating the p values 计算p值 Sampling Distribution: Review 样本分布:复习 Simple random sampling is the case where n objects are selected at random from a population and each member of the population is equally likely to be included in the sample 简单随机抽样是指从总体中随机取样n次,使得总体中的 每个元素在样本中的出现的可能性相同 a When y, y,, ,yn, are drawn from the same distribution and are independently distributed they are said to be independently and identically distributed, ori.id. 如果y2,y2…,yn来自于同一分布且相互独立,则称这 组随机变量独立同分布(iid.) Sampling Distribution: Review 样本分布:复习 Sampling distributions play a central role in the development of statistical and econometric procedures 样本分布在统计学和计量经济学发展中具有核心地位 It is the probability distribution of an estimator over all possible outcomes 它是指一个估计量在其所有可能取值上的概率分布 a There are two approaches charactering sampling distributions:an“ exact” approach and an“ approximate” approach 刻画样本分布的两种方式:“准确”方式和“近似”方 式 Sampling Distribution: Review 样本分布:复习 Theexact approach entails deriving a formula for the sampling distribution that holds exactly for any value of “准确”方式需要对仼何n的取值都得到样本分布的精确 表达式。 Such distribution is called the exact distribution or finite-sample distribution 这样的分布被称为小样本(有限样本)的差磅分布 a For example, if y is normally distributed, and yu, ye yn are iid, then their average has an exact distribution of normal distrib