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    Formula Sheet EC3303

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    snorelex031
    This document provides formulas and definitions for statistical concepts related to regression analysis including: 1) Definitions of variance, covariance, and correlation between random variables X and Y. 2) Formulas for the expected value and variance of linear combinations of random variables. 3) Formulas for sample covariance, correlation, and standard deviations. 4) Formulas for ordinary least squares estimators in simple linear regression.

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    © All Rights Reserved
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    Formula Sheet EC3303

    Uploaded by

    snorelex031
    12 views1 page
    This document provides formulas and definitions for statistical concepts related to regression analysis including: 1) Definitions of variance, covariance, and correlation between random variables X and Y. 2) Formulas for the expected value and variance of linear combinations of random variables. 3) Formulas for sample covariance, correlation, and standard deviations. 4) Formulas for ordinary least squares estimators in simple linear regression.

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    formula sheet EC3303

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    This document provides formulas and definitions for statistical concepts related to regression analysis including: 1) Definitions of variance, covariance, and correlation between random variables X and Y. 2) Formulas for the expected value and variance of linear combinations of random variables. 3) Formulas for sample covariance, correlation, and standard deviations. 4) Formulas for ordinary least squares estimators in simple linear regression.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    12 views1 page

    Formula Sheet EC3303

    Uploaded by

    snorelex031
    This document provides formulas and definitions for statistical concepts related to regression analysis including: 1) Definitions of variance, covariance, and correlation between random variables X and Y. 2) Formulas for the expected value and variance of linear combinations of random variables. 3) Formulas for sample covariance, correlation, and standard deviations. 4) Formulas for ordinary least squares estimators in simple linear regression.

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    © All Rights Reserved
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    Formula Sheet (EC3303)

    h i
    2 2
    De…nition: X = V ar (X) = E (X X) ; Cov (X; Y ) = E [(X X ) (Y Y )] =
    Cov(X;Y )
    E (XY ) E (X) E (Y ) ; Corr (X; Y ) = X Y
    ; where X = E (X) :

    If X and Y are two random variables, and a and b are two constants,

    E (aX + bY ) = aE (X)+bE (Y ) ; V ar (aX + bY ) = a2 V ar (X)+b2 V ar (Y )+2abCov (X; Y ) :

    P
    Sample Covariance sXY = n 1 1 ni=1 Xi X Yi Y and the sample correlation coe¢ cient
    q q
    sXY 1 Pn 2 1 Pn 2
    XY = sX sY ; where s X = n 1 i=1 Xi X and s Y = n 1 i=1 Yi Y are sample

    standard deviation of X and Y respectively.

    For simple linear regression, the OLS estimators b 0 and b 1 ;

    Pn Pn
    b i=1 Xi X Yi Y i=1 Xi Yi nX Y
    1 = Pn 2 = P n 2
    Xi X 2
    i=1 i=1 Xi nX
    b = Y b X
    0 1

    q Pn
    b2i
    u
    Standard error of b 1 : b b = SE b 1 = qP SER
    n 2
    ; where SER = i=1
    n 2 :
    i=1 (Xi X )
    1

    Pn 2 Pn 2 Pn
    T SS = i=1 Yi Y = i=1 Ybi Y + b2i
    i=1 u = ESS + SSR: R2 = ESS
    T SS =1 SSR
    T SS :

    2 2
    (Runrestricted Rrestricted )=q
    Homoskedasticity-only F -statistic= restricted SSRunrestricted )=q
    ; or (SSRSSR unrestricted =(n k 1)
    :
    (1 Runrestricted )=(n k 1)
    2

    When the sample size is large, F -statistic Fq;1 : If the dependent variables are di¤erent for

    the unrestriced and restricted regression models, two formulas are not equivalent. The latter

    should be used.

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