tailieunhanh - Bài giảng Chapter 1: Classical linear regression

Bài giảng Chapter 1: Classical linear regression tập trung trình bày các vấn đề cơ bản về model; assumptions of the classial regression model; least souares estimation;. Mời các bạn cùng tìm hiểu và tham khảo nội dung thông tin tài liệu. | Advanced Econometrics Part I Basic Econometric Models Chapter 1 Classical Linear Regression Chapter 1 CLASSICAL LINEAR REGRESSION I. MODEL 4- Population model Y f X1 X 2 Xk f Dependent Explanatory variable Disturbance variable or Regressor error - fmay be any kind linear non-linear parametric non-parametric . - We ll focus on parametric and linear in the parameters. 4- Sample information - We have a sample Yt Xị 2 X . Xik 1 - Assume that these observed values are generated by the population model Yi @1 @X 2i @3X 3i . PkXki S1 - Objectives i. Estimate unknown parameters. ii. Test hypotheses about parameters. iii. Predict values of y outside sample. dY. - Note that Pk X. so the parameters are the marginal effect of the X s on Y k dXk with other factors held constant. EX C @1 @2 S1 Nam T. Hoang University of New England - Australia 1 University of Economics - HCMC - Vietnam Advanced Econometrics Part I Basic Econometric Models Chapter 1 Classical Linear Regression Pk C 8Y1 M .PC require 0 p 1 Denotes Y Y1 Y2 X 1 X12 X 22 Ĩ . 1 . 1 N p p. and 8 h1 2 Y . _1 Xn 2 X n3 . . X nk _ Pn _ Sn _ We have Y X p s nxV nxk k x1 nx1 II. ASSUMPTIONS OF THE CLASSICAL REGRESSION MODEL Models are simplications of reality. We ll make a set of simplifying assumptions for the model. The assumptions relate to - Functional form. - Regressors. - Disturbances. 4-Assumption 1 Linearity. The model is linear in the parameters. Y s 4-Assumption 2 Full rank. Xjs are not random variables - or Xj are random variables that are uncorrelated with 8. There is no exact linear dependencies among the columns of X. This assumption will be necessary for estimation of the parameters need no EXACT . X1 Rank X k implies n k n k as Rank A min Rows Columns Rank X n is also OK. Nam T. Hoang University of New England - Australia 2 University of Economics - HCMC - Vietnam Advanced Econometrics Part I Basic Econometric Models Chapter 1 Classical Linear Regression 4-Assumption 3 Exogeneity of the independent .