Ch.8 Nonspherical Disturbance This chapter will assume that the full ideal conditions hold except that the covari- ance matrix of the disturbance, i.e. E(EE)=02Q2, where Q is not the identity matrix. In particular, Q may be nondiagonal and / or have unequal diagonal ele- ments Two cases we shall consider in details are heteroscedasticity and auto-

一、拟合优度检验 二、方程显著性检验 三、变量显著性检验

一、异方差性的概念——违反基本假设的定义及违反的原因 二、异方差性的后果——违反基本假设会造成什么样的后果 三、异方差性的检验——怎样诊断是否违反基本假设 四、出现异方差时的补救措施——如何消除或减弱对基本假设的违反 五、案例

补救序列相关的基本思路 变换存在序列相关的模型,使变换后的新模 型具有无序列相关的随机误差项,这样新模 型满足基本假设,那么运用OLS进行估计以 及进行检验,就能得到理想可信的结果。 从随机误差项入手—变序列相关的随机误差 项为无序列相关的

《计量经济学》诺贝尔奖得主

Why study econometrics? Rare in economics(and many other areas without labs! ) to have experimental data Need to use nonexperimental. or observational data to make inferences eImportant to be able to apply economic theory to real world data Economics 20- Prof. Anderson

Parallels with Simple regression Bo is still the intercept B, to Bk all called slope parameters u is still the error term(or disturbance) Still need to make a zero conditional mean assumption, so now assume that E(lx,x2…,x)=0 Still minimizing the sum of squared residuals. so have k+l first order conditions Economics 20- Prof anderson

Consistency e Under the Gauss-Markov assumptionS OLS IS BLUE, but in other cases it wont always be possible to find unbiased estimators o In those cases, we may settle for estimators that are consistent, meaning as n→>∞,the distribution of the estimator collapses to the parameter value Economics 20- Prof anderson

Dummy variables a dummy variable is a variable that takes on the value l or o Examples: male(= 1 if are male, O otherwise), south(=l if in the south, 0 otherwise), etc dummy variables are also called binar variables. for obvious reasons Economics 20- Prof anderson

Functional form e We' ve seen that a linear regression can really fit nonlinear relationships 2 Can use logs on RHS, LHS or both Can use quadratic forms ofx's Can use interactions ofx's e How do we know if we've gotten the right functional form for our model? Economics 20- Prof anderson