1 / 9

GRA 6020 Multivariate Statistics The regression model OLS Regression

GRA 6020 Multivariate Statistics The regression model OLS Regression. Ulf H. Olsson Professor of Statistics. Regression Analysis. OLS Regression parameter St.error T-value P-value Confidence interval. R-sq R-sq.adj F-value The error term. Regression analysis.

maryckennedy
Download Presentation

GRA 6020 Multivariate Statistics The regression model OLS Regression

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. GRA 6020Multivariate StatisticsThe regression modelOLS Regression Ulf H. Olsson Professor of Statistics

  2. Regression Analysis Ulf H. Olsson

  3. OLS Regression parameter St.error T-value P-value Confidence interval R-sq R-sq.adj F-value The error term Regression analysis Ulf H. Olsson

  4. The error term has constant variance The error term follows a normal distribution with expectation equal to zero The x-variables are independent of the error term The x-variables are linearly independent The dependent variable is normally distributed Regression Analysis Ulf H. Olsson

  5. Y is stochastic, x1, x2,….,xk are not Linearity in the parameters The error term has const.variance The error term is norm. Distributed with expectation equal to zero The error terms are independent The x-variables are linearly independent Classical Assumptions Ulf H. Olsson

  6. GAUSS-MARKOV • OLS is BLUE given the Classical Assumptions • B = Best • L=Linear • U=Unbiased • E=Estimator Ulf H. Olsson

  7. Econometric Model • Klein’s Model (1950) Ulf H. Olsson

  8. Making Numbers (OLS and TSLS) • CT = 16.237+0.193*PT+0.0899*PT_1+0.796*WT, R² = 0.981 • (1.303) (0.0912) (0.0906) (0.0399) • 12.464 2.115 0.992 19.933 • CT = 15.324+0.0763*PT+0.186*PT_1+0.828*WT, R² = 0.979 • (1.453) (0.138) (0.146) (0.0439) • 10.546 0.553 1.275 18.844 Ulf H. Olsson

  9. Estimate Klein’s equations by OLS Regression Ulf H. Olsson

More Related