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Culture Documents
Note: this is a tentative sketch of some formulas that you possibly need to use in the
exam, for your reference. Please be aware that changes might still be made during the
finalization of our exam questions.
var(Y ) E (Y E (Y )) 2
cov( X , Y ) E ( X E ( X ))(Y E (Y ))
cov( X , Y )
corr ( X , Y )
var( X ) var(Y )
E (a bX cY ) a bE ( X ) cE (Y )
var(aX bY ) a 2 var( X ) 2ab cov( X , Y ) b 2 var(Y )
ESS SSR
R2 1
TSS TSS
n n n
ESS (Yˆi Y ) 2 , SSR uˆ i , TSS (Yi Y ) 2
2
i 1 i 1 i 1
n 1 SSR
Adjusted R 2 1 ( )
n k 1 TSS
n
1
SER
n k 1 i 1
uˆ i
2
( R 2 unrestricted R 2 restricted ) / q
The homoskedasticity-only F-Statistic F
(1 R 2 unrestricted ) /( n k unrestricted 1)
( SSRrestricted SSRunrestricted ) / q
Or equivalently F
SSRunrestricted /( n k unrestricted 1)