Multiple Regression Analysis: Estimation - Difference in Differences
3 important questions on Multiple Regression Analysis: Estimation - Difference in Differences
What additional assumption (MLR) is needed for establishing variances and efficiency OLS and what are these assumptions called together?
MLR5 (Homoskedasticity): var(u|x1,x2,..xk)=o2
MLR1-MLR5 are called the Gauss-Markov assumptions.
MLR1-MLR5 are called the Gauss-Markov assumptions.
How can the error variance be estimated in MLR and what do these components mean?
ô2 = SSR / n - k - 1. The degrees of freedom (df) are n-k-1, this means the number of observations (n) - the number of parameters (k+1). E(ô2)=o2.
What are the standard errors in the MLR?
Standard error of the regression is ô = squared ô2
Standard error of ^Bj, se (^Bj) = ô / [SST(1-Rj)]
Standard error of ^Bj, se (^Bj) = ô / [SST(1-Rj)]
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