作者dexmanlau (loser)
看板Statistics
标题[问题] 回归
时间Sun Jun 17 09:16:57 2007
以下有题统计不是很了,希望板上高手帮忙ㄧ下!!非常感谢!!
Two stage least squares is calculated as follows: in the first stage
(A) Y is regressed on the exogenous variables only. The predicted value of
Y is then regressed on the instrumental variables
(B) the unkown coefficients in the reduced form equation are estimated by
OLS, and these predicted values and the other exogenous variable.
(C) the unknown coefficients in the reduced form equation are estimated by
weighted least squares, Y is regressed on these predicted values and
the other exogenous variables.
(D) the exogenous variables are regressed on the instrument. The predicted
value of the exogenous variables is then used in the second stage,
together with the instruments, to predict the dependent variable.
另外,何谓加权最小平方法,其适合在何种情况下使用呢??
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1F：推 asymptote81:Error term is not constant variance. 06/17 12:30
2F：推 dexmanlau:加权比重是依据什麽来订定呢?? 06/17 19:02