多元回归分析模型识别和数据问题.pptx

contents;Functional from misspecification;Functional Form;Functional Form (continued);Functional Form (continued);RESET test, example;If the models have the same dependent variables, but nonnested x’s could still just make a giant model with the x’s from both and test joint exclusion restrictions that lead to one model or the other. For example, we have to choose model between y = b0 + b1x1 + b2x2 +u (m1) y = b0 + b1log(x1) + b2log(x2)+u (m2) Which model to choose? Method 1: estimate a comprehensive model y = d0 + d1x1 + d2x2+ d3log(x1) + d4log(x2)+u H0: d3 =0, d4=0 for the second model and H0: d1 =0, d1=0 for the first one. Method 2: the Davidson-Mackinnon test If (m1) is true, then the fitted values from (m2) should be insignificant in (m1). Thus, to test (m1), we first estimate (m2) by OLS to obtain the fitted values, ?. Then plug it in to (m1), that’s y = b0 + b1x1 + b2x2 +q ?+ u A significant t statistic is a rejection of model (m1).;Proxy vairables;Proxy Variables;Proxy Variables (continued);Example: IQ as a Proxy for Ability (wage2.raw, p297);Proxy Variables (continued);Lagged Dependent Variables;Measurement Error;Measurement Error;Measurement Error in a Dependent Variable;Measurement Error in an Explanatory Variable;Measurement Error in an Explanatory Variable (cont);Measurement Error in an Explanatory Variable (cont);Missing data and Outlying observations;Missing Data – Is it a Problem?;Nonrandom Samples;Outliers;Outlier Test 1Studentized Residuals;Outlier in a Model of Public Spending, (HR, Ex7.3);Outlier Test 2DFbetas;Outlier in a Model of Public Spending, (HR, Ex7.3);Homework