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ECON 2123
001 Quiz1

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 EASY 4.0 | ECON2123 SUMMER 2020
001 QUIZ 1

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 EASY 4.0 | ECON2123 SUMMER 2020
001 QUIZ 1
consistency
Lecture 1: Statistics Review
Distribution 分布 Ehzppt
Normal distribution
o A distribution provides information on the relative number of times (probability or share or
proportion) each possible outcome for a variable will occur in a number of trials.
o Probability Density Function (pdf): the probability of observaing a given value
Curveo
Density Cumulative Distribution Function (cdf): the cumulative probability of observing a value less than
分)
or equal to a given value of the variable. (Note:Aka
Ma
pdf是cdf

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o
CDF

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µ
a b
Joint Distribution, Marginal Distribution
Jffixidx
o Example:
discrete random variable v s continous
Puny Jointdistribution th k K 84
distribution
Tl0 420 430 7 marginal
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420 0.42
ab ply _1 a4
o g
40 to t
Simple Derivative 微分
lpcy
常数 微分是0.
2 o6

未 数对 己 微分是1.

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Exisummation
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2,3 4 5,6
Xi 1 2 1 31 41 51 6 1 X a Xn Xi
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 EASY 4.0 | ECON2123 SUMMER 2020
001 QUIZ 1

Expecatation Rule 期望值（平均数）

变 之 的期 值=变 各自的期 值
之 ;
常数的期 值就是 身，因此常数

可以 期 值的公式中提出 。

42hi
Covariance 协方差
∑ =1 𝑥 𝑥̅ 𝑦 𝑦
y
𝐶𝑜𝑣 𝑥, 𝑦
n 1
Covariance Rules
Cov IX ut w an LX v t CovLX W

常数 可以 协 差的公式中提出 。
变 常数的协 差等 ，因为常数不会
根据变 的变化而变化。

方差 Variance
∑𝑁=1 𝑥 𝜇
𝜎 → 𝑝𝑜𝑝𝑢𝑙𝑎𝑡𝑖𝑜𝑛
𝑁
∑ =1 𝑥 𝑥̅
𝑠 → 𝑠𝑎𝑚𝑝𝑙𝑒
𝑛 1

of freedom
degree

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001 QUIZ 1

o Variance Rules

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VarLY Var BV D VorLv

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仔 Lecture 1 Slide，做 时候放在旁 以便查

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001 QUIZ 1

irlIBa.E.hikvoriwbe.ir En8n
ftp.A.tixpnedioty Lecture 2 The Simple Regression Model
2
例：收入（income）和教 年 （educ） 关 可以如何总 ？ predict.yq
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Econometric model of job training and worker productivity
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1
Population v. Sample Regression Function
1. PRF =True Population Regression
E[Yi|Xi]= 𝛽 +𝛽1 Xi (希 字母代 实 总 参数，不是估 出来 )
Observed Yi = 𝛽 +𝛽1 Xi+ui
ui = random error (or disturbance term): 差 （ 实）
HERM ui Incorporates effect of unobserved influences on Y such as:
i. Excluded explanatory variables.
ii. Unobserved individual characteristics.
iii We assume ui N σ 差 合正态分布

只 明有关 ，不 明是causal relationship.

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001 QUIZ 1

Rthk 2. SRF Sample Regression Function

和我们之前 到所有 样，总 参数是无 得到 ，我们只 估 值来估 . We estimate
mmleast squares (OLS).
the SRF from the sample using a method called ordinary
希 字母加hat代 估 ，估 也有自己的分布/均值/方

e
1. Y= b + b1 Xi (小写字母或

差)
2. b or 𝛽 is an estimator for y-intercept 𝛽 .
3. b1 𝑜𝑟 𝛽1 is an estimator for the slope 𝛽1 .
4. ei approximates ui.
估 值 差 叫 residual. 差 也有 己 distribution，有平均数和方差

𝑒 = observed Yi predictedY µ
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SST, SSR, SSE

𝑛𝑦 → Total variation in y （ 实值-均值）

Total sum of squares (SST ∑ =1 𝑦 𝑦 ∑𝑦
yEizpIkxxP

D
Explained sum of squares (SSE

值-均值）
∑ =1 𝑦 𝑦 → Explained variation due to the fitted regression line（

Residual sum of squares (SSR ∑ =1 𝑒 → Unexplained variation （ 实值- 值）

Hukexplarmyky
We have SST=SSE+SSR
www.kx variation

regnes5imHme4Ehq7qqqedu
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 EASY 4.0 | ECON2123 SUMMER 2020
001 QUIZ 1

OLS 估 值 么求：

We find b and b1 to make SSE as small as possible. 最小二乘 ：Ordinary Least Square （ 掌握推导）
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1) Solving for 𝛽 = estimate of y-intercept β0 （ 接把 x, y 均值代入，因为 regression line 定

𝒚 𝒂𝒏𝒅 𝒙.）
Llertunez
𝜕𝑹𝑺𝑺
𝜕𝜷𝟎

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001 QUIZ 1

2) Solving for 𝛽1 estimate of slope β1

𝜕𝑹𝑺𝑺
𝜕𝜷𝟏

if Fat Fix
：OLS estimator for the parameters are

𝛽 𝒚 𝛽1 𝒙 （ 接把 x, y 均值代入，因为 regression line 定 𝒚 𝒂𝒏𝒅 𝒙.）

∑ 𝒙𝒊 𝒙 𝒚𝒊 𝒚
𝛽1
∑ 𝒙𝒊 𝒙 𝟐 tikka ZLXI HM.im
Also, 𝛽1
𝒄𝒐𝒗 𝒙,𝒚
𝒓𝒙𝒚
𝒔𝒚 covox.y
𝒔𝟐𝒙 𝒔𝒙
The slope estimate related to the sample correlation rxy.
Z LXI FI Vortex
另 求𝛽1 和𝛽 方
EEK
：Method of moments Approach (只 要了
T
会得到 OLS 同样的结果) y
o 如果我们 先 residual moment，我们可以得到 上 OLS 样 𝛽1 和𝛽
1. E(ui) = 0 Residuals have zero expected value. residualftp.r tkf
yJFE
1 2. Cov(x, u) = E(xu)=0 u is uncorrelated with x.

Goodness of fit: Coefficient of Determination, 𝐑𝟐

residual variance Is min
R 1

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 EASY 4.0 | ECON2123 SUMMER 2020
001 QUIZ 1

The coefficient of determination is often interpreted as the proportion of variability in y that is explained
by the regression equation. The higher the R , the greater the explanatory power of the regression, the
3IFkH8
IKEA better the goodness of fit. R 大， 明 个回归模型 力 好 0 R2 1

同时，R是Econ2122学 correlation coefficient是 价 ，我们可以推导出 R r .

Can usein Mn on the same data set with same algebraic form of the
R2 to compare two different regressions
dependent variable to see which model better fits the data. 可以 R square 比 两个回归模型

力 强，但是必 使 同样 数据样本.

哪 放 个无关 x，R2 也 定会增加，但是模型 不 定会变得更好

Assignment: Chow test tests whether the entire structure of the regression changes for group A/ Group B.
Chow test 来决定 不 把数据分 ，对每 做 个单 regression，得到 果更加拟

比 population RSS v.s. sample A 和 sample B RSS， 接 p-value，小于 0.05 明拒

原假 ，原假 是 RSS 不会发 明显变化，不 分 如果可以拒 原假 ，就 明你 择

分 可以 回归做 更好

W
ANOVA Table Analysis (ANOVA- Analysis of Variance) k of variable
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good
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