gls notes
2
adjust variables to dichotomous variables gap can range ols coefcients and std errors B = (x’x) (x’y) sigma = sigma sqrd (x’x)^- sigmaB = sqrt(diag(s) !"# B = (x’$^-%)^- & x’$^-y) (x’'^-x)^- & x’$^-y (x’x)^- &x’ys identity matr ix ' multiply matr ix by i s the same thin g (x’'x)^- &x’'y $^- e eight by their variance* eigh high variance loer+ lo variance high* # = sigma^,(x’$^-x) ^- robability .(y) = p = y/n 0(y) = p(-p)
-
Upload
brian-clark -
Category
Documents
-
view
217 -
download
0
Transcript of gls notes
adjust variables to dichotomous variablesgap can range
ols
coefficients and std errors
B = (xx) (xy)
sigma = sigma sqrd (xx)^-1
sigmaB = sqrt(diag(s)
GLSB = (xU^-1X)^-1 * xU^-1y)(xI^-1x)^-1 * xU^-1y(xx)^-1 *xys
identity matrix I multiply matrix by 1 is the same thing(xIx)^-1 *xIy
U^-1
We weight by their variance. Weigh high variance lower, low variance high.
S = sigma^2(xU^-1x) ^-1
ProbabilityE(y) = p = y/nV(y) = p(1-p)
