作者mathask (呵呵)
看板Math
标题[机统] 虚拟变数
时间Wed May 25 19:45:52 2011
不知从何下手...
请好心的高手帮忙^_^
Consider the two regression models:
(1) y=β1*D1+β2*D2+β3*D3+β4*D4+ε
(2) y=β+β2*D2+β3*D3+β4*D4+ε
The variables are quarterly dummies. There are equal numbers of observations in
each quarter. yij is the observation on the dependent variable in year i,
quarter j.
(a) Obtain the LSE in each model.
(b) If there a term γx in the two equations, i.e.,
(3) y=β1*D1+β2*D2+β3*D3+β4*D4+γx+ε=Dβ+γx+ε
(4) y=β+β2*D2+β3*D3+β4*D4+γx+ε=D'β'+γx+ε
Prove that the LSEs of γ in (3) and (4) are identical. (Hint: Find the LSE of γ
by by the regression of MDy on MDx and MD'y on MD'x)
麻烦了 谢谢
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1F：→ yhliu :基本上 models (1) 与 (2) 相同, (3) 与 (4) 相同. 05/26 00:11
2F：→ yhliu :从 hint 来看, 是要用垂直投影矩阵来做. 05/26 00:12