FORMULARIUM – APPLIED ECONOMETRICS

Linear regression model with one regressor:

∑𝑛𝑖=1(𝑋𝑖 − 𝑋̅)(𝑌𝑖 − 𝑌̅ )
(1) 𝛽̂1 =
∑𝑛𝑖=1(𝑋𝑖 − 𝑋̅)²

(2) 𝛽̂0 = 𝑌̅ − 𝛽̂1 𝑋̅

1 𝑣𝑎𝑟[(𝑋𝑖 − µ𝑥 )𝑢𝑖 ]
(3) 𝜎𝛽̂21 =
𝑛 [𝑣𝑎𝑟(𝑋𝑖 )]²

Linear regression model with two regressors:

1 1 𝜎𝑢2
(4) 𝜎𝛽̂21 = ( 2 ) 2
𝑛 1 − 𝜌𝑋1,𝑋2 𝜎𝑋1

𝑝 𝜎𝑢
(5) 𝛽̂1 → 𝛽1 + 𝜌𝑋,𝑢
𝜎𝑋

Other formulas:

𝑆𝑆𝑅
(6) 𝑅² = 1 −
𝑇𝑆𝑆

𝑛 − 1 𝑆𝑆𝑅
(7) 𝑅̅ 2 = 1 −
𝑛 − 𝑘 − 1 𝑇𝑆𝑆

𝑆𝑆𝑅
(8) 𝑆𝐸𝑅2 =
𝑛−𝑘−1

2 2
(9) 𝑆𝐸(𝛽̂𝑚,1 − 𝛽̂𝑤,1 ) = √[𝑆𝐸(𝛽̂𝑚,1 )] + [𝑆𝐸(𝛽̂𝑤,1 )]

2 2
(𝑅𝑢𝑛𝑟𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑒𝑑 − 𝑅𝑟𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑒𝑑 )/𝑞
𝐹=
(10) 2
(1 − 𝑅𝑢𝑛𝑟𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑒𝑑 )/(𝑛 − 𝑘𝑢𝑛𝑟𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑒𝑑 − 1)

|∆𝑌̂|
(11) 𝑆𝐸(∆𝑌̂ ) =
√𝐹

∆𝑥 ∆𝑥
(12) ln(𝑥 + ∆𝑥) − ln 𝑥 ≅ 𝑤ℎ𝑒𝑛 𝑖𝑠 𝑠𝑚𝑎𝑙𝑙
𝑥 𝑥