Notes on Regression

نویسنده

  • Alex Young
چکیده

3 The Classical Linear Regression Model 5 3.1 Derivation of OLS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 3.1.1 The Argument That Minimizes the SSR . . . . . . . . . . . . . . . . 6 3.1.2 The Method of Moments . . . . . . . . . . . . . . . . . . . . . . . . . 6 3.1.3 Maximum Likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 3.2 Interpretation of Coefficients [Stock and Watson, 2007] . . . . . . . . . . . . 8 3.2.1 The Frisch-Waugh-Lovell Theorem [Greene, 2008] . . . . . . . . . . . 9 3.3 Finite and Asymptotic Properties . . . . . . . . . . . . . . . . . . . . . . . . 11 3.3.1 Unbiasedness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3.3.2 Consistency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3.3.3 Normality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

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تاریخ انتشار 2013