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REGRESSION:

PARAMETER ESTIMATION

Widya Irmaningtyas

Program Studi Statistika

FMIPA UGM

INTRODUCTION

The simple model studied in the previous chapters is

often inadequate in practice.

model to cover models involving more than one

explanatory variables.

multiple regression models, that is, models in which the

dependent variable, Y depends on two or more

explanatory variables.

THE MULTIPLE LINEAR REGRESSION

MODEL

The simple regression model

Yi 1 2 X i ui

Yi 1 2 X 2i 3 X 3i ui

The multiple regression model, with (k 1) explanatory variables

Yi 1 2 X 2i 3 X 3i k X ki ui

Yi 1 X 1i 2 X 2i 3 X 3i k X ki ui , i 1, 2,, n (1)

In this model, we have k regressors, one of which may or may not correspond

to a constant, and the others to a number of explanatory variables.

THE MULTIPLE LINEAR REGRESSION

MODEL

Eq(1) can be simplified in a vector form

Yi 1 X 1i 2 X 2i 3 X 3i k X ki ui

Yi Xi' ui

where

X 1i 1

X

2i 2

X i X 3i , 3

X ki k

THE MULTIPLE LINEAR REGRESSION

MODEL

Equation (1) is a shorthand expression for the following set of n simultaneous

equations:

Y1 1 X 11 2 X 21 3 X 31 k X k1 u1

Y2 1 X 12 2 X 22 3 X 32 k X k 2 u2

(2)

Yn 1 X 1n 2 X 2 n 3 X 3n k X kn un

Let us write the system of equations (2) in an alternative but more illuminating way as

follows

Y1 X 11 X 21 X 31 X k1 1 u1

Y X X 22 X 32 X k 2 u

2 12 2

2

Yn X 1n X 2n X 3n X kn

n un

y = X + u

n 1 nk k 1 n 1

THE CLASSICAL OLS ASSUMPTIONS

OLS1. The n k matrix X is deterministic, that is, it consists of a set of xed

numbers.

OLS2. The rank of matrix X is equal to k , where k is the number of

columns in X and k is less than the number of observations, n.

OLS3. E u 0

OLS4. E uu' 2 I

OLS5.

u ~ N 0, 2 I

THE OLS ESTIMATION

The idea of OLS estimation is to minimize the sum of

squared residuals associated with a regression model.

To obtain the OLS estimate of , let us rst write the k-

variable sample regression

Yi 1 X 1i 2 X 2i 3 X 3i k X ki ui

which can be written in matrix notation as

y = X + u (3)

where is a k-element column vector of the OLS

estimators of the regression coefcients,

and u is an n 1 column vector of n residuals.

THE OLS ESTIMATION

The OLS estimators are obtained by minimizing ui

2

In matrix notation, this amounts to minimizing u'u

y - X

'

= y - X

u'u

y'y - 2'X'y

+ 'X'X

obtain

u'u

2 X'y 2X'X

X'X = X'y

THE ESTIMATORS OF

The estimators

= X'X -1 X'y

of

E =

Var X'X

2 -1

THE ESTIMATOR OF 2

The estimator n

ui

2

u ' u

2

i 1

nk nk

Although in principle u ' u can be computed from the

estimated residuals, in practice it can be obtained

directly as follows

u ' u y'y - 'X'y

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