A COMPANION TO Theoretical Econometrics

Interpretation of regression coefficients

For linear models, with E[y |x] = x'P, the coefficients в are readily interpreted as the effect of a one-unit change in regressors on the conditional mean. For nonlinear models this interpretation needs to be modified. For any model with exponential conditional mean, differentiation yields

^ = Pjexp(x'P), (15.7)

where the scalar Xj denotes the jth regressor. For example, if Sj = 0.25 and exp(x • S) = 3, then a one-unit change in the jth regressor increases the expectation of y by

0. 75 units. This partial response depends upon exp(x'S) which is expected to vary across individuals. It is easy to see that в;- measures the relative change in E [y |x] induced by a unit change in Xj. If Xj is measured on log-scale, в;- is an elasticity.

For purposes of reporting a single response value, a good candidate is an estimate of the average response, n YH=1 dE [ yi|xi]/3xi/- = Sj x n YH= 1exp(x-S). For Poisson regression models with intercept included, this can be shown to simplify

to j

Another consequence of (15.7) is that if, say, в;- is twice as large as ви then the effect of changing the jth regressor by one unit is twice that of changing the kth regressor by one unit.

Добавить комментарий

A COMPANION TO Theoretical Econometrics

Normality tests

Let us now consider the fundamental problem of testing disturbance normality in the context of the linear regression model: Y = Xp + u, (23.12) where Y = (y1, ..., …

Univariate Forecasts

Univariate forecasts are made solely using past observations on the series being forecast. Even if economic theory suggests additional variables that should be useful in forecasting a particular variable, univariate …

Further Research on Cointegration

Although the discussion in the previous sections has been confined to the pos­sibility of cointegration arising from linear combinations of I(1) variables, the literature is currently proceeding in several interesting …

Как с нами связаться:

Украина:
г.Александрия
тел./факс +38 05235  77193 Бухгалтерия
+38 050 512 11 94 — гл. инженер-менеджер (продажи всего оборудования)

+38 050 457 13 30 — Рашид - продажи новинок
e-mail: msd@msd.com.ua
Схема проезда к производственному офису:
Схема проезда к МСД

Партнеры МСД

Контакты для заказов шлакоблочного оборудования:

+38 096 992 9559 Инна (вайбер, вацап, телеграм)
Эл. почта: inna@msd.com.ua

За услуги или товары возможен прием платежей Онпай: Платежи ОнПай