n　多元回归估计与假设检验.pptxVIP

会计学1n　多元回归估计与假设检验 2Parallels with Simple RegressionYi = b0 + b1Xi1 + b2Xi2 + . . . bkXik + uib0 is still the interceptb1 to bk all called slope parameters, also called partial regression coefficients and any coefficient bj denote the change of Y with the changes of Xj as all the other independent variables fixed.u is still the error term (or disturbance)Still minimizing the sum of squared residuals, so have k+1 first order conditions第1页/共88页 3Obtaining OLS Estimates第2页/共88页 4Obtaining OLS Estimates, cont.The above estimated equation is called the OLS regression line or the sample regression function (SRF)the above equation is the estimated equation, is not the really equation. The really equation is population regression line which we don’t know. We only estimate it. So, using a different sample, we can get another different estimated equation line. The population regression line is第3页/共88页 5Interpreting Multiple Regression第4页/共88页 6An Example (Wooldridge, p76)The determination of wage (dollars per hour), wage: Years of education, educYears of labor market experience, experYears with the current employer, tenureThe relationship btw. wage and educ, exper, tenure:wage=b0+b1educ+b2exper+b3tenure+uThe estimated equation as below:wage=educ+exper+tenure第5页/共88页 7A “Partialling Out” Interpretation第6页/共88页 8A “Partialling Out” Interpretation第7页/共88页 9“Partialling Out” continuedPrevious equation implies that regressing Y on X1 and X2 gives same effect of X1 as regressing Y on residuals from a regression of X1 on X2This means only the part of Xi1 that is uncorrelated with Xi2 are being related to Yi , so we’re estimating the effect of X1 on Y after X2 has been “partialled out”第8页/共88页 10The wage determinationsThe estimated equation as below:wage=-educ+exper+tenureNow, we first regress educ on exper and tenure to patial out the exper and tenure’s effects. Then we regress wage on the residuals of educ on exper and tenure. Whether we get the same result.?educ=exper+tenure d