Inference in the MLR model. Functional form specification

14 Maio 2015, 15:30 • NICOLETTA ROSATI

Test of zero slopes. Tests F of exclusion restrictions. Examples: Exercise 4.5 (iii), EN Jan 2009 3b).
Specification tests: Reset test. Example: EN Jan 2009, ex. 3d). Reset Test. Examples: Exercise 9.1.

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Inference in the MLR model

12 Maio 2015, 13:30 • NICOLETTA ROSATI

Inference: construction of confidence intervals for a linear combination of parameters through the definition of an alternative model. Discussion of exercise C4.3.

F tests for joint hypotheses on several linear restrictions. Examples. Discussion of exercise 4.5 (i) and (ii).

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Inference in the Multiple Linear Regression

8 Maio 2015, 13:30 • NICOLETTA ROSATI

Inquérito pedagógico (practicals).

Introduction to inference in the MLR. Types of statistical hypotheses. Normality assumption. Sample distribution of the OLS estimator. Tests of hypotheses on one parameter. Statistical significance. Confidence intervals. Tests on one linear combination of parameters. Test for a linear combination through the definition of an alternative model.
Discussion of exercises n. 4.7 and 4.9 from exercises sheet on inference. Examples from past exam papers.

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Multiple Linear Regression

7 Maio 2015, 15:30 • NICOLETTA ROSATI

Irrelevant variables. Decomposition of the variance of the OLS estimator. Adjusted R-squared.
Discussion of exercises n. 3.1, 3.6, C3.2 and C3.3 from exercises sheet on MLR.

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Multiple Linear Regression

5 Maio 2015, 13:30 • NICOLETTA ROSATI

Inquérito pedagógico.

Properties of OLS estimator. Gauss-Markov theorem and corollary. Estimates of parameters as partial effects. Omitted variables.
Discussion of exercises n. 3.5 and 3.8 from exercises sheet on MLR.

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