Regression - Properties of OLS on Any Sample Data
3 important questions on Regression - Properties of OLS on Any Sample Data
What are the algebraic properties of OLS statistics?
The sample moment conditions immediately imply
(1) sample average OLS residuals zero
(2) sample covariance regressors and residuals zero
(3) (x,y) on regression line
(1) sample average OLS residuals zero
(2) sample covariance regressors and residuals zero
(3) (x,y) on regression line
What is the total sum of squares? How is it calculated? What do those variables mean?
Total sum of squares (SST) = Explained sum of squares (SSE) + Residual sum of squares (SSR).
What does the coefficient of determination (R-squared) mean?
The R-squared measures the fraction in the sample variation in y explained by x.
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