Flashcards
Multivariate regression
Cards in this deck (19)
- 1Why is multivariate regression used?Can control for multiple explanatory variables which would've been included in u in the bivariate model
- 2How many parameters are estimated?k independent variables plus a constant makes k + 1 parameters to be estimated
- 3How are coefficients estimated?answer on a physical flashcard
- 4What is the interpretation of β ̂_1?change in y ̂ due to a one unit increase in x1, holding all other independent variables constant
- 5How do you calculate the combined effect of more than one variable?add the coefficients on the variables
- 6What are the OLS properties of a multivariate model?answer on a physical flashcard
- 7Explain the indirect way of obtaining β ̂_1answer on a physical flashcard
- 8How is the difference between the bivariate and multivariate model calculated?answer on a physical flashcard
- 9When will the bivariate estimate equal the multivariate estimate?- β ̂_2 = 0 (unimportant to explain y, should not be in the regression
- δ ̃_i = 0 - 10How are the sum of squares calculated?answer on a physical flashcard
- 11How is R2 calculated?On formula sheet
- 12How do more variables affect R2?Should be higher when there are more variables
- 13What is adjusted R2? How is it calculated?answer on a physical flashcard
- 14What 4 assumptions are needed for multivariate regression?Same assumptions a s the bivariate model
1. linear in parameters
2. random sample
3. no exact linear relationship between independent variables
4. ZCM
5. Homoskedasticity: Var(u|x1, ... , xk) = σ^2 - 15What does it mean for the OLS to be BLUE?The most efficient, unbiased estimator with the smallest variance
Most common assumption to not hold is ZCM - 16How is the variance of OLS estimators calculated?On formula sheet
- 17What 3 factors does the variance of OLS estimators depend on?1. error variance σ^2
2. total sample variation in xj, SSTj (increases with sample size) - 18How is an estimate of the variance of the error term calculated?On formula sheet
- 19How do you calculate the se of an OLS estimator?answer on a physical flashcard
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- Year 2 ECN21004 - Econometrics Flashcards on Multivariate regression, created by Imogen Donoghue on 11/01/2023.
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- Imogen Donoghue
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