Summary
Samenvatting Econometrie - CH3,4,5,11
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Samenvatting van hoofdstukken 3,4,5 en 11 op basis van het handboek en de slides van de Prof. (Geslaagd eerste zit)
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Content preview
SCHATTEN VAN DE SRE"
, OLS -
METHODE
1 PRF ✗ SRF
>
Benaderen van de PRF :
Y; =Pstijl
In de
werkelijkheid <
hebben we meestal data
over een STEEKPROEF
> Îi >
Yi
-
-
Îi À
+
,
> We trachten de PRF te benaderen
aan de hond van de SRF >
Yi =
 ÂXITGÛ
,
+
;
>
HOE SCHATTEN WE DE SRF A. D. A. V. STEEKPROEFGEGEVENS ?
7 VIND EEN STEEKPROEF -
REGRESSIELIJN DAT DE AFSTAND TUSSEN DEZE
LIJN ✗ DE WAARGENOMEN
DATA MINIMALISEERT > MINIMA SAT VAN ÂÍ
ACTUAL
VALUE
y
MEIJE
-
ON
| -
} WAAROM jij
•
=
(Y -
ij;)
-
.
> Û.
> Termen kunnen elkaar opheffen 1=0 )
'
krijgen hetzelfde gewicht ongeacht of het
+
-
-
Termen een
'
'
grote of kleine residual is
. -
.
OPLOSSING
-
ORDINARY (ds)
.
LEAST SQUARE
.
.
.
,
I METHODE DER KLEINSTE KWADRATEN
, 2 ORDINARY LEAST SQUARE (ds) > Deze methode
geeft meer
gewicht aan
grotere residuen
ij 5=2
'
> [ u? = [ ( yi -
, Yi -
PI PI
-
✗ + À .
> VOOR EEN GEGEVEN SAMPLE GAAT OLS ONS DE BESTE
13^1×13^2 MET DE KLEINSTE EÛ? GEVEN
HOE BEKOMEN WE DE BESTE Â 's?
n
'
> Min Yi -
PI PI )
-
jij Jij
✗ = °
Partieel
afleiden en = o
uitwerken leidt tot
<
OLS -
SCHATTE RS
sci = ✗i -
I
yi
=
Yi -
I
✓
STATISTISCHE EIGENSCHAPPEN
ALS WE DE OLS SCHATTERS GEBRUIKEN -
> Gelden onder bepaalde assumpties over het DATAGENERATING PROCESS
GELDEN NUMERIEKE EIGENSCHAPPEN ↳y
=p
.
+
Pzxi + µ:
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