Type author name/s here

Dougherty

Introduction to Econometrics,
5th edition
Chapter heading
Review: Random Variables,
Sampling, Estimation, and
Inference

© Christopher Dougherty, 2016. All rights reserved.

 INDEPENDENCE OF TWO RANDOM VARIABLES

Two random variables X and Y are said to be

independent if and only if

E[f(X)g(Y)] = E[f(X)] E[g(Y)]

for any functions f(X) and g(Y).

This very short sequence presents an important definition, that of the independence of two
random variables.

1
 INDEPENDENCE OF TWO RANDOM VARIABLES

Two random variables X and Y are said to be

independent if and only if

E[f(X)g(Y)] = E[f(X)] E[g(Y)]

for any functions f(X) and g(Y).

Two variables X and Y are independent if and only if, given any functions f(X) and g(Y), the
expected value of the product f(X)g(Y) is equal to the expected value of f(X) multiplied by
the expected value of g(Y).
2
 INDEPENDENCE OF TWO RANDOM VARIABLES

Two random variables X and Y are said to be

independent if and only if

E[f(X)g(Y)] = E[f(X)] E[g(Y)]

for any functions f(X) and g(Y).

Special case: if X and Y are independent,

E(X Y) = E(X) E(Y)

As a special case, the expected value of XY is equal to the expected value of X multiplied by
the expected value of Y if and only if X and Y are independent.

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Copyright Christopher Dougherty 2016.

These slideshows may be downloaded by anyone, anywhere for personal use.

Subject to respect for copyright and, where appropriate, attribution, they may be
used as a resource for teaching an econometrics course. There is no need to
refer to the author.

The content of this slideshow comes from Section R.3 of C. Dougherty,

Introduction to Econometrics, fifth edition 2016, Oxford University Press.
Additional (free) resources for both students and instructors may be
downloaded from the OUP Online Resource Centre
http://www.oxfordtextbooks.co.uk/orc/dougherty5e//.

Individuals studying econometrics on their own who feel that they might benefit
from participation in a formal course should consider the London School of
Economics summer school course
EC212 Introduction to Econometrics
http://www2.lse.ac.uk/study/summerSchools/summerSchool/Home.aspx
or the University of London International Programmes distance learning course
EC2020 Elements of Econometrics
www.londoninternational.ac.uk/lse.

2015.12.17