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1、TableofContentsLectureOutlines….……………………………………………………………………….2ClassicalLinearRegressionModel……….………………………………………………...2HypothesisTesting…………………………………………………………………………10GeneralLinearRegressionModel...………………………………………………………..15SeeminglyUnrelatedRegressionsModel…..……………………………………………….23Simult
2、aneousEquationsRegressionModel…………………………………………………31BinaryDiscreteChoiceRegressionModels.………………………………………………..44Fixed-EffectsandRandom-EffectsRegressionModelsforPanelData...…………………..54Duration(Survival)ModelsforTimetoEventData………………………………………..65Appendix……………………………………………………………………………………8
3、3StataGuidewithAssignments……………………..………………………………………..84107THECLASSICALLINEARREGRESSIONMODEL107INTRODUCTIONTheclassicallinearregressionmodelisastatisticalmodelthatdescribesadatagenerationprocess.SPECIFICATIONThespecificationoftheclassicallinearregressionmodelisdefinedbythefollowingset
4、ofassumptions.Assumptions1.Thefunctionalformislinearinparameters.Yt=b1Xt1+b2Xt2+…+bkXtk+mt2.Theerrortermhasmeanzero.E(mt)=0fort=1,2,…,T3.Theerrortermhasconstantvariance.Var(mt)=E(mt2)=s2fort=1,2,…,T4.Theerrorsareuncorrelated.Cov(mt,ms)=E(mt·ms)=0forallt1s5.Theerrortermhasanormaldistr
5、ibution.mt~Nfort=1,2,…,T6.Theerrortermisuncorrelatedwitheachexplanatoryvariable.Cov(mt,Xti)=E(mt·Xti)=0fort=1,2,…,Tandi=1,2,…,K7.Theexplanatoryvariablesarenonrandomvariables.ClassicalLinearRegressionModelConciselyStatedThesampleofTmultivariateobservations(Yt,Xt1,Xt2,…,Xtk)aregenerate
6、dbyaprocessdescribedasfollows.Yt=b1Xt1+b2Xt2+…+bkXtk+mtmt~N(0,s2)fort=1,2,…,Toralternatively,Yt~N(b1Xt1+b2Xt2+…+bkXtk,s2)fort=1,2,…,TClassicalLinearRegressionModelinMatrixFormatThesampleofTmultivariateobservations(Yt,Xt1,Xt2,…,Xtk)aregeneratedbyaprocessdescribedbythefollowingsystemof
7、Tequations.Observation1Y1=b1X11+b2X12+…+bkX1k+m1Observation2Y2=b1X21+b2X22+…+bkX2k+m2………………………………………ObservationTYT=b1XT1+b2XT2+…+bkXTk+mTNotethefollowing.1)Thereisoneequationforeachmultivariateobservation.2)Theparametersareconstants,andthereforehavethesamevalueforeachmultivariateobse
8、rvation.3)Th
