计量经济学基础(第2章课件).ppt

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1、Chapter2TheSimpleLinearRegressionModel:SpecificationandEstimationWalterR.PaczkowskiRutgersUniversity2.1AnEconomicModel2.2AnEconometricModel2.3EstimatingtheRegressionParameters2.4AssessingtheLeastSquaresEstimators2.5TheGauss-MarkovTheorem2.6TheProbabilityDistributionsoftheLeastSq

2、uaresEstimators2.7EstimatingtheVarianceoftheErrorTerm2.8EstimatingNonlinearRelationships2.9RegressionwithIndicatorVariablesChapterContents2.1AnEconomicModelAseconomistsweareusuallymoreinterestedinstudyingrelationshipsbetweenvariablesEconomictheorytellsusthatexpenditureoneconomic

3、goodsdependsonincomeConsequentlywecallythe‘‘dependentvariable’’andxtheindependent’’or‘‘explanatory’’variableIneconometrics,werecognizethatreal-worldexpendituresarerandomvariables,andwewanttousedatatolearnabouttherelationship2.1AnEconomicModelThepdfisaconditionalprobabilitydensit

4、yfunctionsinceitis‘‘conditional’’uponanxTheconditionalmean,orexpectedvalue,ofyisE(y

5、x)Theexpectedvalueofarandomvariableiscalledits‘‘mean’’value,whichisreallyacontractionofpopulationmean,thecenteroftheprobabilitydistributionoftherandomvariableThisisnotthesameasthesamplemean,which

6、isthearithmeticaverageofnumericalvalues2.1AnEconomicModelFigure2.1aProbabilitydistributionoffoodexpenditureygivenincomex=$10002.1AnEconomicModelTheconditionalvarianceofyisσ2whichmeasuresthedispersionofyaboutitsmeanμy

7、xTheparametersμy

8、xandσ2,iftheywereknown,wouldgiveussomevaluabl

9、einformationaboutthepopulationweareconsidering2.1AnEconomicModelFigure2.1bProbabilitydistributionsoffoodexpendituresygivenincomesx=$1000andx=$20002.1AnEconomicModelInordertoinvestigatetherelationshipbetweenexpenditureandincomewemustbuildaneconomicmodelandthenacorrespondingeconom

10、etricmodelthatformsthebasisforaquantitativeorempiricaleconomicanalysisThiseconometricmodelisalsocalledaregressionmodel2.1AnEconomicModelEq.2.1Thesimpleregressionfunctioniswrittenaswhereβ1istheinterceptandβ2istheslopeEq.2.12.1AnEconomicModelItiscalledsimpleregressionnotbecauseiti

11、seasy,butbecausethereisonlyoneexplanatoryvariab