计量经济学导论：ch05 多元回归分析：渐进性.pptVIP

* * Law of large numbers * 渐进正态性 随着自由度提高，t分布渐进服从正态分布，因此有: 因此，随着样本量增大，我们无需再担心正态性假定是否满足问题，但仍然需要同方差性。 * 渐进标准误 如果u不是正态分布的，下式被称为渐进标准误，t统计量称为渐进t统计量。 可以预期，标准误的收缩速度为样本容量平方根的倒数。 * LM Statistic (cont) Suppose we have a standard model, y = b0 + b1x1 + b2x2 + . . . bkxk + u and our null hypothesis is H0: bk-q+1 = 0, ... , bk = 0 First, we just run the restricted model * The idea of LM statistic If the omitted variables xk-q+1 through xk truly have zero population coefficients then, at least approximately, should be uncorrelated with each of these variables in the sample. Running a regression of these residuals on those independent variables excluded under H0, we should get a small enough R2. However, we must include all of the independent variables in the regression for technical reasons. * LM Statistic (cont) With a large sample, the result from an F test and from an LM test should be similar. LMc, reject H * * 拉格朗日乘数统计量 将y对施加限制后的自变量集进行回归，并保留残差uhat。 将uhat对所有自变量进行回归，并得到R2，记为Ru2. 计算LM=n Ru2. 将LM与xq2分布中适当的临界值c比较，如果LMc，就拒绝原假设。否则，我们就不能拒绝原假设。 * Example: Economic Model of Crime Narr86为一个人被拘捕的次数； Pcnv为以前被拘捕后被定罪的次数； Avgsen为过去定罪后被判刑的平均时间长度； Tottime为此人在年龄达到18岁后在1986年以前被送进监狱的总次数； Ptime86为1986年坐牢的月数； Qemp86为此人在1986年合法就业的季度数。 * OLS渐进有效性 Estimators besides OLS will be consistent However, under the Gauss-Markov assumptions, the OLS estimators will have the smallest asymptotic variances We say that OLS is asymptotically efficient Important to remember our assumptions though, if not homoskedastic, not true * The discussion in the simple regression g(x) is any function of x, let zi=g(x), then u is uncorrelated with zi. * * * * * * * * * * * * * * * * * * * * Copyright ? 2007 Thomson Asia Pte. Ltd. All rights reserved. * Copyright ? 2007 Thomson Asia Pte. Ltd. All rights reserved. 多元回归分析：渐进性 y = b0 + b1x1 + b2x2 + . . . bkxk + u * 渐进性的含义 如果误差并非正态分布，对任何的样本容量而言，t统计量、F统计量并非恰好服从t分布、F分布。 幸运的是，即使没有正态性假定，t统计量和F统计量仍然渐进的服从t分布