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Chapter 8-The Generalized Regression Model

Chapter 8-The Generalized Regression Model

ID：40355124

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页数：25页

时间：2019-07-31

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1、IntroductionInecientEstimationbyOLSandIVEcientEstimationbyGLSHeteroscedasticityTestingforHeteroscedasticityWeightedLeastSquaresClusteringandtheMoultonFactorChapter8TheGeneralizedRegressionModelandHeteroscedasticityJulieShiSchoolofEconomics,PekingUniversityNov.26,2015JulieShiGLSIntroductionInecien

2、tEstimationbyOLSandIVEcientEstimationbyGLSHeteroscedasticityTestingforHeteroscedasticityWeightedLeastSquaresClusteringandtheMoultonFactorOutline1Introduction2InecientEstimationbyOLSandIV3EcientEstimationbyGLS4Heteroscedasticity5TestingforHeteroscedasticity6WeightedLeastSquares7ClusteringandtheMou

3、ltonFactor2/25IntroductionInecientEstimationbyOLSandIVEcientEstimationbyGLSHeteroscedasticityTestingforHeteroscedasticityWeightedLeastSquaresClusteringandtheMoultonFactorGeneralizedLinearRegressionModelThreeassumptions:XhasfullrankExogeneity:E[ejX]=0Homoscedasticity:E[ee0jX]=s2IGeneralizedlinearre

4、gressionmodelapplieswhenhomoscedasticityisviolated,i.e.,E[ee0jX]=s2=å:3/25IntroductionInecientEstimationbyOLSandIVEcientEstimationbyGLSHeteroscedasticityTestingforHeteroscedasticityWeightedLeastSquaresClusteringandtheMoultonFactorHeteroscedasticityMicroeconomicdatausuallyhasheteroscedasticity,2323

5、w10:::0s120:::0660w2:::077660s22:::077s2=s2=6.76.74..54..500:::wn00:::sn24/25IntroductionInecientEstimationbyOLSandIVEcientEstimationbyGLSHeteroscedasticityTestingforHeteroscedasticityWeightedLeastSquaresClusteringandtheMoultonFactorAutocorrelationTime-seriesdatausuallyhasautocorrelation,231r1:::r

6、n166r11:::rn277s2=s26.74..5rn1rn2:::15/25IntroductionInecientEstimationbyOLSandIVEcientEstimationbyGLSHeteroscedasticityTestingforHeteroscedasticityWeightedLeastSquaresClusteringandtheMoultonFactorOLSEstimatorClassicalmodelwithsphericaldisturbances,i.e.,E[ejX]=0andE[ee0jX]=s2I,thenOLSestimator

7、isbestlinearunbiased,consistent,andasymptoticallynormallydistributed.Whenhomoscedasticityisviolated,OLSestimatorisstillunbiased,consistent,andasymptoticallynormallydistributed,butnolongerecient,sothe

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