TAILIEUCHUNG - Lecture Undergraduate econometrics - Chapter 5: Inference in the simple regression model: Interval estimation, hypothesis testing, and prediction

Chapter 5 - Inference in the simple regression model: Interval estimation, hypothesis testing, and prediction. In this chapter, students will be able to understand: Interval estimation, hypothesis testing, the least squares predictor. | Chapter 5 Inference in the Simple Regression Model Interval Estimation Hypothesis Testing and Prediction Assumptions of the Simple Linear Regression Model SR1. yt 01 02Xt et SR2. E et 0 E yt 01 02Xt SR3. var et Ơ2 var yt SR4. cov ei ej cov yi yj 0 SR5. xt is not random and takes at least two different values SR6. et N 0 ơ2 yt N 01 02xt Ơ2 optional Slide Undergraduate Econometrics 2nd Edition -Chapter 5 If all the above-mentioned assumptions are correct then the least squares estimators b1 and b2 are normally distributed random variables and have from Chapter normal distributions with means and variances as follows bi . - Xx 1 TX x - x 2 b2 Ơ2 2 X x - x 2 From Chapter we know that the unbiased estimator of the error variance is as follows Ở2 X e T - 2 Slide Undergraduate Econometrics 2nd Edition -Chapter 5 By replacing the unknown parameter Ơ2 with this estimator we can estimate the variances of the least squares estimators and their covariance. In Chapter 4 you learned how to calculate point estimates of the regression parameters P1 and p2 using the best linear unbiased estimation procedure. The estimates represent an inference about the regression function E y P1 p2x of the population from which the sample data was drawn. In this chapter we introduce the additional tools of statistical inference interval estimation prediction interval prediction and hypothesis testing. A prediction is a forecast of a future value of the dependent variable y for creating ranges of values sometimes called confidence intervals in which the unknown parameters or the value of y are likely to be located. Hypothesis testing procedures are a means of comparing conjecture that we as economists might have about the regression parameters to the information about the parameters contained in a sample of data. Hypothesis tests allow Slide Undergraduate Econometrics 2nd Edition -Chapter

• Quản trị kinh doanh
• Undergraduate econometrics
• Lecture Undergraduate econometrics
• Kinh tế lượng
• Simple regression model
• Interval estimation
• Hypothesis testing
• Econometric model
• Experimental data
• Statistical inference
• Random variables
• Probability concepts
• Probability density
• Linear regression model
• Economic model
• The least squares estimators
• Least squares estimators
• Simple linear regression model
• Coefficient of determination
• Regression analysis
• Multiple regression model
• Model specification
• The least squares estimator
• Hypothesis tests
• Collinear economic variables
• Intercept dummy variables
• Slope dummy variables
• Dummy variables
• Nonlinear models
• Interaction variables
• Logistic growth curve
• Nature of heteroskedasticity
• Proportional heteroskedasticity
• Distributed lag models
• Finite distributed lag models
• Geometric lag
• Time series data
• Stationary time series
• Spurious regressions