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TheSimpleRegressionModel y=b0+b1x+u1
SomeTerminologyInthesimplelinearregressionmodel,wherey=b0+b1x+u,wetypicallyrefertoyastheDependentVariable,orLeft-HandSideVariable,orExplainedVariable,orRegressand2
SomeTerminology,cont.Inthesimplelinearregressionofyonx,wetypicallyrefertoxastheIndependentVariable,orRight-HandSideVariable,orExplanatoryVariable,orRegressor,orCovariate,orControlVariables3
ASimpleAssumptionTheaveragevalueofu,theerrorterm,inthepopulationis0.Thatis,E(u)=0Thisisnotarestrictiveassumption,sincewecanalwaysuseb0tonormalizeE(u)to04
ZeroConditionalMeanWeneedtomakeacrucialassumptionabouthowuandxarerelatedWewantittobethecasethatknowingsomethingaboutxdoesnotgiveusanyinformationaboutu,sothattheyarecompletelyunrelated.Thatis,thatE(u|x)=E(u)=0,whichimpliesE(y|x)=b0+b1x5
..x1x2E(y|x)asalinearfunctionofx,whereforanyxthedistributionofyiscenteredaboutE(y|x)E(y|x)=b0+b1xyf(y)6
OrdinaryLeastSquaresBasicideaofregressionistoestimatethepopulationparametersfromasampleLet{(xi,yi):i=1,…,n}denotearandomsampleofsizenfromthepopulationForeachobservationinthissample,itwillbethecasethatyi=b0+b1xi+ui7
....y4y1y2y3x1x2x3x4}}{{u1u2u3u4xyPopulationregressionline,sampledatapointsandtheassociatederrortermsE(y|x)=b0+b1x8
DerivingOLSEstimatesToderivetheOLSestimatesweneedtorealizethatourmainassumptionofE(u|x)=E(u)=0alsoimpliesthatCov(x,u)=E(xu)=0Why?RememberfrombasicprobabilitythatCov(X,Y)=E(XY)–E(X)E(Y)9
DerivingOLScontinuedWecanwriteour2restrictionsjustintermsofx,y,b0andb1,sinceu=y–b0–b1xE(y–b0–b1x)=0E[x(y–b0–b1x)]=0Thesearecalledmomentrestrictions10
DerivingOLSusingM.O.M.Themethodofmomentsapproachtoestimationimpliesimposingthepopulationmomentrestri
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