资源描述：
《Econometric theory and methods-Davidson》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、Chapter1RegressionModels1.1IntroductionRegressionmodelsformthecoreofthedisciplineofeconometrics.Althougheconometriciansroutinelyestimateawidevarietyofstatisticalmodels,usingmanydifferenttypesofdata,thevastmajorityoftheseareeitherregressionmodelsorclosere
2、lativesofthem.Inthischapter,weintroducetheconceptofaregressionmodel,discussseveralvarietiesofthem,andintroducetheestima-tionmethodthatismostcommonlyusedwithregressionmodels,namely,leastsquares.Thisestimationmethodisderivedbyusingthemethodofmoments,which
3、isaverygeneralprincipleofestimationthathasmanyapplicationsineconometrics.Themostelementarytypeofregressionmodelisthesimplelinearregressionmodel,whichcanbeexpressedbythefollowingequation:yt=¯1+¯2Xt+ut:(1:01)Thesubscripttisusedtoindextheobservationsofasam
4、ple.Thetotalnum-berofobservations,alsocalledthesamplesize,willbedenotedbyn.Thus,forasampleofsizen,thesubscripttrunsfrom1ton.Eachobservationcomprisesanobservationonadependentvariable,writtenasytforobserva-tiont,andanobservationonasingleexplanatoryvariabl
5、e,orindependentvariable,writtenasXt.Therelation(1.01)linkstheobservationsonthedependentandtheexplana-toryvariablesforeachobservationintermsoftwounknownparameters,¯1and¯2,andanunobservederrorterm,ut.Thus,ofthefivequantitiesthatappearin(1.01),two,ytandXt,a
6、reobserved,andthree,¯1,¯2,andut,arenot.Threeofthem,yt,Xt,andut,arespecifictoobservationt,whiletheothertwo,theparameters,arecommontoallnobservations.Hereisasimpleexampleofhowaregressionmodellike(1.01)couldariseineconomics.Supposethattheindextisatimeindex,
7、asthenotationsuggests.Eachvalueoftcouldrepresentayear,forinstance.Thenytcouldbehouse-holdconsumptionasmeasuredinyeart,andXtcouldbemeasureddisposableincomeofhouseholdsinthesameyear.Inthatcase,(1.01)wouldrepresentwhatinelementarymacroeconomicsiscalledacon
8、sumptionfunction.Copyright°c1999,RussellDavidsonandJamesG.MacKinnon34RegressionModelsIfforthemomentweignorethepresenceoftheerrorterms,¯2isthemarginalpropensitytoconsumeoutofdisposableincome,and¯1iswhatissometimescalledautonomousc
