OLS




BLUE
t

1Y=f(X1,X2,.,XP)Y
Xii=1,2.p
2: Y=f(X1,X2,.,XP) Y
Xii=1,2.p
3

2-1 GDP
4

 2-1M2y
GDPx

19952004

 xy

xy

xy

regressive
relationship,
regression equation
regression model

 2-1

y= x

2.1

y
2.1yy
2-1

 2.1

y= x u

2.2

y t xt u t

2.3

t=1,2,3,..,T
2.3
x, y

 yt

xt

dependent variable
independent variable

explained variableexplanatory variable

effect variable

causal variable

10

 parameters,
regression coefficients
tstochastic error
term,random disturbance

term,

yt

11

 t
1

yt
2yt

3yt

12


()
ordinary
least squares,OLS;

yt
xt

13

 yt y t fitted
value,u t
residual
u t
OLS
T
2

u
residual sum of squares, RSS t
t 1

(
y

y
)
RSS= t
=
t
t 1

x )2

(
y

t
t
t 1

2.4
14

 2.4
:
x
y

T
xy

x Tx
t

2
t

y x

2.5
2.6

15


1.the populationthe sample

2the population regression

functionPRFthe
sample regression functionSRF
16

 PRF
DGP
PRF

y t xt + u t

2. 7

SRF

y xt

2.8

SRF

17

2.7

yt xt ut

2.9

u t

18

 3.
yx
y= x
y
x
2

x
y=

y x

x
19

y t Ax t e

ut

2.10

ln y t ln A ln xt u t

2.11

Yt ln y t ln AX t ln xt
2. 11
2.12
Yt X t u t
2.12
20

 4.estimatorestimate

21



1E ut 0
2var u t 2<,
x

3cov u i , u j 0

4covu t , xt 0x
5t~N 0, 2 ,

22


(1)(4)

Best Linear Unbiased Estimators

BLUE

23

 estimator

linear y

unbiased

best
OLS

24

 () OLS
1.OLS

(1)(4)
:
SE s

x
T x x
2
t

x
T x Tx

2.21

1
2
2
x

T
x
t

2.22

SE s

2
t

2
t

x x
u

T 2
2

2
t

25


1T

2SE SE s2 s2
s2
s2

26

 3 xt x
2

xt x
2

22

27

22
28

2
x
4 t

xt2 y
xt2 y
y

29

 2OLS
(5)u t N 0, 2 y t

~ N , var

2.30

~ N , var

2.31

30


(5)CLRM

N0,1
var

2.32

~ N 0,1
var

2.33
31

SE SE

SE SE
T-2tT

SE

tT 2

(2.34)

t
T 2 (2.35)
~
SE

32

3.t

2-3 t
33

t
t

34

(goodness of fit statistics)

R2
y yt y

the total sum of squares

TSS

35

y
u

y
= t
+ t
t
2

2.36

the explained sum of squaresESS

RSS,
2

=
2
t

y t

36

 TSSESSRSS

24 TSSESSRSS
37

ESS
R
TSS
2

TSS=ESS+RSS

2.37
2.38

TSS RSS
RSS
2.39

1
TSS
TSS
TSS

ESS
2
R

R 2 0,1

R2R2
R2

38

 R2

1
R2

R2

39

2 R2

R2

3R20.9

40


R2R2 R2

R2 R 2

T 1
2
R 1
1 R
2.40
K
T K

T
2

41

null hypothesis
H0
alternative hypothesis,H1

H0
H0H0
42

H0
H0

H0

H0
43


confidence interval
approachtest of
significance approach

tF

44

 t
2.3t

1OLS2.3

SE

2H 0 :
*

H1 : *)

45


* T-2t
tsta=
SE

35%,

t
2-55%
5%

46

2-5

47

 4t
T-2

48

(
2.3

49

 1OLS2.3
SE
25%
95%t
T-2 tcrit
3

tcritSE tcrit SE

2.41

50

 4 *
H 0

51

t
tsta

-tcrit

tcrit
SE

2.42

2.41

* tcrit SE
SE

t
crit

2.43
2.43
2.41t
52

5
95

53

 P
P

P
P
p

pEviewsStata

54




yt 1 2 x2t 3 x3t ...... k xkt u t

t=1,2,3.T (2.44)

yk-1x2t,x3t,xkt
12..k

55

 2.44

y X u

2.46

yT1XTk
k1uT1

56


1
u
u
2

u
M

T
u

2.47

RSS u u u1 u 2

u1
u
L uT 2 u12 u 22 K uT2 ut2
M

uT

2.48

57

2 X X 1 X y
M

k

2.49

u u
s
T k
2

2.50

1
2

var s X X 2.51
58



y
R2

TSS=ESS+RSS

2.52

TSSESS
RSS

59

ESS
R
TSS
2

2.53

R2
ESS

R2011

60

ESS 2 yt x2t 3 yt x3t k yt xkt 2.54

R
2

2 yt x2t 3 yt x3t k yt xkt

2.55

2
y
t

61


t
t

2 2*
1 1*
t2
t1
SE 2
SE 1

tk

k k*

2.56

SE k

n-kt

62

 F
F0

63

y 1 2 x 2 k x k u

2.57

unrestricted
regression

64

 q
2.57
k-q
q

y 1 2 x2 k q xk q k q 1 xk q 1 k xk u
2.58

65

k q 1 k 0

restricted regression

y 1 2 x2 k q xk q u

2.59

66


q2.59
RSS R
RSSUR
q

67

RSSR RSSUR q
RSSUR N K

2.60

2.60
qN-KF

68

 F
F1
5F

69

2
2
R
FR

RSSUR 2
RSS R
2
RUR
1
RR 1
TSSUR

RSS
1
,
TSS

2.61

TSS R

TSS UR TSS R

2.60

RR2 q
F q , N k
2
1 RUR
N k

2
UR

2.62

70

71


conditional expectationst
Yt+1 E(Yt 1 It)
tYt+1

tYt+1
ft, 1

72

tYY

ft, 1=E(Yt 1 It)

2.65

73

74

 2in-sample
out-of-sample

75

76

 4one-step-ahead
multi-step-ahead

tt+1
t+1t+2

tt+1
t+2t+r
77


mean squared
errorMSE
mean absolute error,MAE
MSE
1 T
s
2
MSE= yt yt
T t 1

y y
s
t

2.66

t t T

78

 MAE

1 T s

y
MAE= t
t
T t 1
2.67
MSEMAE

79

 2Theil

1 T
yts yt

T t 1

1 T
yts

T t 1

2.68

1 T

yt

T t 1

UMSE

U01U=0ty ts y t
U=1
Theil

80

 Theil

2
1
2
s
2
s

t
t

s
21 s
T

2.69

y , y , s , y y
s

s
t

1 s T yts y s yt y

81

US

1 T y

s
t

yt

s 2

s
2
1 T yt yt

21 s

1 T yts y

2
t

2.70

2.71

2.72

82

 U M ,U S ,U C U

U M U S U C 1
U M

U S

U C

U M U S 0,U C 1
83



1parsimony

2identifiability

84

 3goodness of fit

4theoretical consistency

85

 5predictive power
M.Friedman

86


R2

T 1
2
R 1
1 R
T K

87


AkaikeAkaike information

criterion,AICSchwarz
Schwarz information criterion,SC

2k
AIC=ln( )
T
2

k
SC ln( ) (ln T)
T
2

88


2 k
T
2K K
AICSC
lnTR 2
T T

SC

AICAICSC

89

90