Econometric S 2

Professor Dr. Charbaji at CHARBAJI Consultants. Beirut Lebanon.
009611 355046

) .(Uncertainty - Incertitude
.

.

) Dependent variable variable
(dpendante ).(Independent variable Variable indpendante
) (Ct
) (Yt :
C t = 0 + 1 Yt U t

) (Inexact relationship Relation exacte Ut
.

1000 .
) (Subpopulations Sous populations
. ) (
) (Fixed variable - variable fixe .
170 $10000 .
$12000

.

.
.

. . . .
) (
.

) (On the average - n moyennee
. ) Expected value Valeur
(espre
13
Professor Dr. Charbaji at CHARBAJI Consultants. Beirut Lebanon. 009611 355046
E ( C / Y ) = cy
E (C / Y ) = cy = + Y
cy ) (
.
)(Clustered - Rgroupes
.
:
C = + Y + U1
:
C = + Y + U 2
:
C = + Y + U k
Uk U2 U1
.
U1
U2 .

.

U U1
U2 U3 .Uk.....
) (Arithmetic Mean - Moyenne arithmtique .
U
(Assumptions underlying the error term Hypothses concernant le terme
(derreur
:

. )(
)( ) Random variable
(Variable alatoire .

14
Z
Z
) (10
) (11 ) (12 . . . . ):(1
)(1

Z

Y
X
)E(Y/X
32 34 30 32 31 33 10
34 36 33 34 36 31 11
36 42 38 31 34 35 12
38 45 33 37 36 39 13
40 40 39 51 36 34 14

. Z ) (10
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34 30 32 31 33
Z .32
Z ) (10
32
) (11 34 .
) (1 :
15
FILE \ NEW \ WORKFILE
OBJECT / NEW OBJECT / SERIES
16
VIEW / SHOW
17
18
)
Y Y ) E (Y / X
) (Deviation -Deviation The observed ) Y
(value La valeur observe ) E (Y / X
:

:

.

) . (observation - observation ) xy = E (Y / X
.
) Pairs of observations - Paires

X 1Y 1 , X 2 Y 2 , X 3Y 3 ,..... X K Y K ( dobservations
(Representative
(random sample chantillon alatoire reprsentatif

:
: (Independent random
(variable Variable alatoire indpendante
19
Y = + X + U
U = Y X
U = (Y X )
U = Y X
U = Y n X
U = Y n(Y X ) X

U = Y n Y + nX X
U = Y Y + X X
U = 0
E (U ) = 0
( Variance - Variance) :
(Constant variance Variance
. y ( constante
:
Y = E (Y / X ) + U
y2 = E [Y yx ]2
y2 = E [Y E (Y / X )]
2
y2 = E (U )2
y2 = u2 = yx
2
Aigner, p:25 1
. . = Y X

20
:
) (Normally distributed distribu normalement ) .E(Y/X
(F and t-tests
) .
.
2
U ~ N (0, )
U
.
: ) (covariance covariance
U X : 2
) XU = X (Y X
XU = XY X X 2
XU = XY X (Y X ) X 2
XU = XY Y X + X X X 2
XU = XY [ ) ( Y )( X
n
] [ X 2
) ( X ) ( X
n
]
xy
XU = xy x2
. x2
)
Y = b0 + b1 x + e Y e
e U . Y b0 b1
Cov( X , Y )= n
xy 2

. .
Aigner .25: x = X X , y = Y Y :
X Y
(X X )(Y Y ) = xy = XY n

:
) ( X 2
(X X ) = x 2 = X 2 n
2
= xxy2
:
,

)
Y e = (b0 + b1 X )e = b0 e + b1 X e = 0
21
XU = 0
: U t t
U t 1 . U t + 1
: .
: ) (Multicollinearity - Multicolinarit
. .
: (There is no specification .
.(error - Il ny a pas derreur de spcification
: ) Aggregation -
(Agrgation .
)(
) (Estimation - estimation ) E (Y / X

. :
) (The true relationship La vraie relation X and Y

:
Y = + X + U
) (The estimated relationship la relation estime X

and Y :
)
Y = b0 + b1 X + e
(The true regression equation La vraie quation de

(rgression X and Y :
E (Y / X ) = + X
(the estimated regression equation Lquation de
(regression estime X and Y :
Y = b0 + b1 X
(The
b0 and b1 (regression coefficient ) (estimates - estimations
) , (parameters - paramtres .
22
(The method of least squares

)Mthode des moindres carrs ordinaires
- (The Gauss Markov theorem Thorme de

(Gauss-Markov

)(BLUE=Best linear unbiased estimators Meilleurs estimateurs sans biais
b1 b0
.
n (Pairs of observations - Paires

X nYn , ...... X 2Y2 , X 1Y1 , (dobservations
.(The best fitting line La droite la plus adquate) X and Y
) X X1
Y1
Y1 (The regression line La
(droite de regression e1 ) .(Residual - Rsidu
X e n .....e 2 , e1
. (Y Y ) = e = 0
)
.
:
( )
)2
Y Y = e 2 = e12 + e 22 .....

. b0 , b1
)
Y = b0 + b1 X )The sum
(squares of residuals ) (Minimum - Minimum
. ) The normal equations Les
(quations normales ) Partial derivative Drive
(partielle b0 b1
:
Y = b0 + b1 X + e
e = Y b0 b1 X
) e 2 = (Y b0 b1 X
2
e2
b0 = 2 (Y b0 b1 X ) ( 1) = 0
Y = b0 n + b1 X )(1
23
e2
b1 = 2 (Y b0 b1 X ) ( X ) = 0
XY = b0 X + b1 X 2 )(2
) (1 ) (2 .
:
Y = b0 + b1 X
Y = b0 n + b1 X
X :
XY = b0 X + b1 X 2
b0 ) (1 :n
Y
= + b1 X
b0 n
n n n
Y = b 0 + b1 X
b0 = Y b1 X )(3
b1 ) (1) (2
) (Cramer's rule Rgle de Cramer :
n Y
X XY n XY ( X ) )( Y
= b1 n X
= n X 2
( X )2
X X2
= b1 XY
X2 )(4
XY X
.Y X 2 X .
24
b0 b1 :
.

.
.
)
Y = b 0 + b1 X
b0
Y ) . (The origin Lorigine b1 (The
(slope La pente
. b0 b1
. b1
(Simple regression coefficient Coefficient de la rgression
) simple
bi (Partial regression coefficient
(coefficient de la rgression partielle Y
X (keeping the
effect of other independent variables constant En gardant leffet des autres
.(variables indpendantes constant bi
) (Multiple regression Rgression multiple
) (
.

) (Bushels
) In deviation form
b0 . y = b1 x + e
(Dviation de la moyenne
b1 b1:
= 2 ( y bx ) ( x ) = 0
2
e
b1
xy = b1 x 2
xy
= b1 x 2
) (Raw scores Scores brutes .

)b0 (The intercept La constante
( ) ( )
X , Y X = X Y = Y :
Y = b0 + b1 X
Y = Y b1 X + b1 X = Y
25
b1 , b2
X X
Z x = SX
ZY = Z X
:
Z X ZY Z X ZY
= Z X2
= n 1 =r

r
:
X Y
b= =r
SY SY
SX SX

, .

Z X = Z Y = 0 0 = Z Y 1 Z X = 0
Y e = 0 Y
. Y = Y SY 2: Y = (Y + e) = Y
= SY 2
1
n
( 2 1
n
)
) Y Y = (b0 + b1 X Y
2
2
]) = (Y b1 X + b1 X Y ) = [b1 ( X X
2 1 2 1
SY
n n
) (X X
2
2
SY = b 1
2
= b12 S X2
n
: S y2
2
S S2
r = Y2 = b12 X2
2
Sy Sy
Aigner p:29
26
= r = b SS X
Y
Y X
( . )
) .( SY = 4 . S X = 3
= 0.60
0.60 Y
0.60 4 = 2.40 3
.
)Standard
Partial regression coefficients Coefficients standardiss de la rgression
(partielle Y X
.
) Matrices -
(Matrices:
Y = Xb + e
) b = ( X X ) ( X Y
1
( X X )1 . 3 X

:

) (Best - Meilleur ) (Linear - Linaire ) Unbiased
b ( Non biaise , .
) (Linear combination Combinaison linaire

Y
=b XY
X2
Drapper & Smith ,. "Applied regression Analysis" john Wiley & Sons, inc. 3
1966. pp:44-52.
.111-109
b0 b1 . b0 b1
27
X
X2 X

b ) Weighted ) (Weight- Pondration
(sum Somme pondre . 4
xy
=b x2
b = y
) b = (Y Y
b = Y Y
b = Y Y xx2
x = 0

b = Y
Y ) Statistically independent statistiquement
Y2 (indpendante Y1
) (Repeated random sample chantillon alatoire rpt Y
Y
: X
b = 1Y1 + 2Y2 + 3Y3 + ..... + nYn

b = Y
) E (b ) = E ( Y
) E (b ) = E (Y
) E (b ) = ( + X
E (b ) = + X
E (b ) = 5
4Wonnacott & wonnacott pp: 19-20 :

5 :
X X =0
= =
X2 X 2
X (X X ). X
= X = .X
X2 X 2
X 2
XX
= X X 2
=1
: b
) xy x( x + e
=b =
x 2 x 2
x 2 xe
=b + 2
x 2 x
E (b ) =
28
b ) (Unbiased estimate estimation non biaise

) (Expected value ) Sampling
(distribution - chantillonnage b .
:
b
b
E (b )
E (b ) =
b b
b = b

b .
) Best unbiased = efficient

(meilleur non biais = efficient . :
E (b ) = E (b ) =
b b
: ) (Arithmetic mean ) (Median

.
29
) (Variance - Variance
) Smaller confidence interval le plus petit intervalle de
(confiance
) (Statistically significant Statistiquement significatif
b0 + b1 X
b0 + b1 X
+ X c + dx
.

) Consistent estimator Estimateur
.(consistant b Asymptotic unbiased)
(estimator Estimateur asymptotiquement non biais
:
b
)(2
)(1
)(3
) (1 n
n ) (2 n
) (3 b .

):(2
30
)(2
) (
6
) ( 1978
)
Y = 718.07 + 0.137 X
r 2 = 0.86
" 6 " :
1981 190 208
31
OBJECT / NEW OBJECT / EQUATION
32
86%
)(
.
) (cross-section data - donnes en coupes instantanes
) (time series data donnes chronologiques
= 0.137
0.137
X Y
X Y

137 .
= 718 .07
X = 0
b0 .7
) (2 b1
.
7 .
) (Time series data Y X
) (.
33
b

) (b0 + b1 X ) ( + X . 8

. :
b b
b b2 b2
. 9
) Coefficient of determination
)Coefficient de dtermination

(
( ) X ) Y
)( ) (variance - variance
) (variation - variation
. 10
8 ) (Regression ) .(Galton
) (Inheritance

.
. )(Regression toward mediocrity
.:
Fred N Kerlinger and Elazar j. pedhazur., Multiple Regression in Behavioral Research. Holt, Rinhert and
Winston, lnc., 1973,p:18
9 67:
10 ) (degree of freedom
:Y
) (Y Y
2
= y2
n 1
34
Y X
X . Y
)The
(mean La moyenne Y Y
. r = 0.0 r = 1.0
. r = 0.0
r = 1.0
Y X . 11
) The sum of squares La somme des

(carrs Y Y ) Total variation
(Variation totale
. SS t
) (Explained variation Variation explique
) (Unexplained variation Variation inexplique
Y
SS Re g Y (Sum of
.(squares of Y due regression Somme des carrs de la regression Y

Y . X
(The variation in Y which remains unexplained by the estimated
relationship between X and Y La variabilit dans Y qui nest pas prise en
)compte par la rgression
) (Residuals . SS Re sd :
Y = b0 + bX + e
)
Y = b0 + bX
)
Y = Y bX + bX
) Y = Y + b( X X
)
)(1
) (1 Y :
) Y Y = Y Y b( X X
)
)(2
) (2 :
11 ) (Prediction - Prvision ) (Regression analysis Analyse de rgression

( )
)( E Y X .
) (Explanation - Explication ) (Forecasting - Prvision
Y ) (conditional - Conditionnelle X
.
35
( )
]) Y Y = [(Y Y ) b( X X
)2 2
( )2
)
) Y Y = (Y Y ) + b 2 ( X X ) 2b (Y Y )( X X
2 2 )(3
) (3 :
) 2b (Y Y )( X X ) = 2b. b ( X X
2
:
) b = (Y Y )( X 2 X
XX( )
) ( 3 :
( )2
)
) Y Y = (Y Y ) +b2 ( X X) 2b2 ( X X
2 2 2
( )2
)
) Y Y = (Y Y ) b 2 ( X X
2 2
)(4
) (1:
b 2 (X X ) = Y Y
2 )
( ) 2
) (4 :
( )
Y Y = (Y Y ) Y Y
)2 2 )
( )
2
)(5
) (Y Y
2 )
(
= Y Y )2
( )2
+ Y Y )

= +
) (5 :
36
(Y Y )2
)
(
Y Y )2 (
Y Y
)
)2
(Y Y = )2 (Y Y )2
+ (Y Y )2
R 2 :
R = (Y Y ) 2 = 1 ((Y Y ))2
( )2
) )2
2 Y Y Y Y
)(6
(Maximum )
) (6 )value Valeur maximale
R 2 = 1.0 Y = Y
)( ))(Minimum value Valeur minimale
R 2 = 0.0 Y = Y Y
X . Y

R 2 = m r ) (Sign -Signe
) (Direction - Direction
.
) The simple correlation coefficient

:(Coefficient de correlation simple
)Correlation -
(Correlation ) (Relationship - Relation
) (Covariance - Covariance
X . Y

) (Deviation scores - Deviations de la moyenne b0 = 0.0
:
)
y = bx
:
( )
Y Y )2
R 2
( = 1
) Y
2
Y
:
37
) ( y bx
2
R2 = 1 y2
y 2 ( y bx )2
= R2 y2
y 2 y 2 + 2 b xy b 2 x 2
= R2 y2
xy
=b x2
xy = b x 2
b xy = b 2 x 2
12
:
xy
R =b 2 2 x2
y2
= b. x2
. x2
y2
= b xxy2
b :
xy
= R2 x 2 . xy
y2
R 2 = b yx .bxy 13
xy
=r = b yx .b xy
x2 . y2

Z X ZY
r = n 1
).(Standard score Scores standards
xy
R = b
2
12
y 2
b1x1 y + b2 x 2 y
= R 116-115 .
2

y 2
13 byx Y X ) Y = F ( X bxy
X Y . X = b0 + b1Y

38

. ) (Causation - Causalit
) (Cause - Cause ) (Effect - Effet
) (Spurious correlation Correlation errone
) Statistical control Contrle
(statistique
r = 0.98

)(
. 14
):(Confidence interval Intervalle de confiance

. )The
(central limit theorem Le thorme de la limite centrale
) (The sampling distribution - Echantillonnage
).(Normally distributed Normalement distribue
) (n ) Observations -
(Observations x S X
x
x .
)Repeated random samples size n Echantillons alatoires ) (n
(rpts de taille n
)
(
X = n

%95 m 1.96 X
X X m 1.96 X
1.96 ) (critical value Valeur critique
) (table value Valeur tabule ) Areas
.(under the standard normal curve Surface sous la courbe normale
X m 1.96 X 95%
%5 .
X m 2.58 X 99%
/ ) the level of significance Le
.15 (niveau de signification
14 123-121:
15 ) (Type l error Erreur de type 1 .
1% 5% .
5% 95% .
39
) 30(
1.96 2.58
) (students t-distribution Distribution de Student t
) (degree of freedom Degr de libert .16

bi ) E (Y / X
)The
standard error of the sampling distribution of b Lcart-type de la
(distribution dchantillonnage
. b
:
) E [b E (b )] = (bM
2
2
M M .
) (unknown - Inconnue M .
:
= b2 SS Re sd
n k 1 . 1x 2
n K
. 17
16 ) (student's t distribution distribution de student t

) ( . T
) (Normal distribution Distribution normale ) single distribution
(distribution simple T ) Family of distributions famille de
(distributions . )(degree of freedom degrs de libert
) (terms - termes .
,24 2 , 4 , 6 10 ,22
2 , 24
) (one restriction une seule restriction ) one
(degree of freedom un seul degr de libert . dF = 5 1 = 4
n n 1
:
) ( X X
2
= S
2
X
n 1
17
:
b = Y = ( + X + u) = + X + U
40
= b m Zc b )(1
= b m tc b )( 2
) (1 ) (n ) 30(
) (2 ) 30( .
) E (Y X Y:
) E (Y X ) = XY = + X = Y + b(X X
]) 2 = 2 [Y + b( X X
xy
) = 2 (Y ) + ( X X ) 2 (b
2 2
xy
yx
2
yx
2
) + (X X
2
= 2xy
n X2
1 ( X X )2 1 X2
= yx + = + :
X2 n X2
yx
xy
n )
Y m Z c yx
):(Testing hypotheses Test dhypothses
) Scientific research Recherche

(scientifique
) .(Problem- Idea - Problmatique
) Formulating Testable hypothesis
(Formulation des hypothses testables ) Phenomenon -
(Phnomne .
) (Research hypothesis Hypothse de recherche
) (Prediction and betting Prvision et paris
. ) Errors
X
= =0
X2
X
= X .X = 1
X2
:
b = + U
b = U
2
X 1
E [b ] = E (U ) SS Re sd
.
2 2
2
= 2
2
= .
X X 2
n k 1
xy

41
)(General - Gnrale

:
- .
- .
-
.
-
.18

) .(Statistical hypotheses Hypothse statistiques
.

). (Testable hypotheses Hypothses testables

. (The null
) hypothesis: H0 Hypothse nulle: H0 (The alternative
(hypothesis: H1 Hypothse alternative: H1 .

) (Linear - Linaire
) (Nonlinear Non linaire
: 19
Y = b0 + b1 X

b0 b1 .
b0
(Intercept - Constante) b0
X = 0.0 b0 .
b0 .
) (Elasticity - Elasticit
b0
18
Fred N. kerlinger., " Foundation of behavioral Research"- 2nd ed. holt-Rinehatr and Winston, inc.,
1973,pp: 16-22
19 . ) are raised
(.to the first power
42
Y
= Y =
X
X
Y X
= .
Y X
Y X
=.
X Y
X X Y Y : 21
X
= b1.
Y
X
= b1.
b0 + b1 X
b1 X
=
b0 + b1 X
:
- b0 = 0.0 ) (

.
- b0
).(Elastic - Elastique

.
- b0
)inelastic -
.(inlastique
.
20 . : . :
237-236
X Y
XY 21
43
b1

.
b0 b1
) (Significance - signification

:
H0 : = 0
H1 : 0
.
.22

.
): 1978-1970 ( 136
: EViews
File \ New \ Workfile :
File \ Object \ New Object :
22 (F- Test) F
) (Equivalent Models
) . (Linear dependency (F- distributions) F
) (Fisher .
44
: :
Control \ Show \ Edit +/- : :
45
46
View \ Descriptive Statistics \ Individual Samples
View \ Descriptive Statistics \ Correlation Matrix
47
Object \ New Object \ Equation
48
View \ Graph \ Scatter \ Scatter With Regression
49
Click the right mouse button on graph \ Choose Options \ Linear Force Thru Zero
50
View Representation \ on the Equation (Output) Window
Residual Table \ on the Equation (Output) Window FittedView Actual
51
Residual Graph \ on the Equation (Output) Window FittedView Actual
52
SPSS Excel
53
54
55
56
57
Regression
Model Summary
Adjusted Std. Error of

Model R R Square R Square the Estimate
1 .921a .849 .838 4565.84631
a. Predictors: (Constant), GDP
ANOVAb
Sum of
Model Squares df Mean Square F Sig.
1 Regression 1.53E+09 1 1525525618 73.177 .000a
Residual 2.71E+08 13 20846952.50
Total 1.80E+09 14
a. Predictors: (Constant), GDP
b. Dependent Variable: Housing Prices
Coefficientsa
Unstandardized Standardized
Coefficients Coefficients
Model B Std. Error Beta t Sig.
1 (Constant) 5795.077 3180.041 1.822 .091
GDP 20.358 2.380 .921 8.554 .000
a. Dependent Variable: Housing Prices
58
Exercises
1. The following table gives data on weekly consumption expenditure (Y) (in
dollars) and weekly family income (X) (in dollars). (Le tableau suivant prsente
des donnes sur la consommation hebdomadaire (Y) (en dollars) et le revenu
familial hebdomadaire (X) (en dollars)). Table 3: Income &
consumption
a) Is this a time series regression or a cross-sectional X ($) Y ($)
regression? (est-ce une srie chronologique ou une 80 70
srie en coupe instantane ?) 100 65
b) Use the least squares method pour regress Y on X. 120 90
(Utiliser la mthode des moindres carrs pour 140 95
rgresser Y sur X) 160 110
c) How do you interpret the parameters of this 180 115
regression? (Comment interprter les paramtres de 200 120
cette rgression) 220 140
d) Test the significance of these parameters, = 0.05. 240 155
(tester la signification de ces paramtres, = 0.05) 260 150
e) Find the coefficient of determination; interpret.
(Trouver le coefficient de dtermination ; interprter)
2. A store manager selling TV sets observes the following sales on 10ddifferent

days. (Un directeur de magasin qui vend des tlvisions a observ les ventes sur
10 jours diffrents)
Y= Number of TV sets = Nombre de tlvisions
X=Number of sales representatives = Nombre de vendeurs
Table 2: Number of sets and sales representatives
Y 3 6 10 5 10 12 5 10 10 8
X 1 1 1 2 2 2 3 3 3 2
a) Plot the data with Y on the vertical axis and X on the horizontal axis.
(Reprsenter graphiquement les donnes avec Y en ordonnes et X en
abscisses)
b) What can you say about the relationship between these two variables?
(Comment peut-on dire de la relation entre ces deux variables?)
c) Calculate the regression of Y on X. (Calculer la rgression de Y sur X)
d) Test the significance of the parameters, = 0.05. Interpret the results.
(tester la signification des paramtres, = 0.05. Interprter les rsultats)
e) Establish a 95% confidence interval for the true parameters. (Etablir
lintervalle de confiance 95% pour les paramtres de la rgression)
3. In the model Yt = + X t + ut , i =1,.., N, the following sample moments have been

calculated from 10 observations: (Dans le modle Yt = + X t + ut , i =1, . . . . , N,
les moments suivant dun chantillon de 10 observations ont t calculs)
Yt = 8 Xt = 40 XtYt = 20 X t2 = 200 Yt2 = 26
a) Calculate the predictor of Y for X = 10 and obtain a 95% confidence
interval for it. (Prdire la valeur de Y sachant que X = 10 et obtenir son
intervalle de confiance 95%)
b) Calculate the value of X that could have given rise to a value of Y = 1 and
explain how you would find a 95% confidence interval for it. (Calculer la
valeur de X qu'aurait pu engendrer une valeur d'Y = 1 et expliquer
comment vous trouveriez son intervalle de confiance 95%)
59
4. In the following table we have data on CPI and S&P 500 Index for the years 1990
to 2002. (Le tableau suivant fournit des donnes annuelles sur lindice des prix
consommation (CPI) et Lindice S&P 500 sur la priode 1990 2002)
Table 4: S&P and CPI (1990-2002)
a) Plot the data on a scattergram with the S&P Year
S&P CPI
500 on the vertical axis and IPC on the (Anne)
horizontal axis. (Reprsenter graphiquement 1990 334.59 130.7
lS&P 500 sur laxe des ordonnes et lIPC sur 1991 376.18 136.2
celui des abscisses) 1992 415.74 140.3
b) What can you say about the relationship 1993 451.41 144.5
between the two indexes? What does economic 1994 460.42 148.2
theory have to say about the relationship? (Que 1995 541.72 152.4
peut-on dire de la relation entre ces deux 1996 670.50 156.9
indices? Que dit la thorie conomique sur 1997 873.43 160.5
cette relation?) 1998 1085.50 163.0
Consider the following regression model. 1999 1327.33 166.6
(Considrer le modle de rgression suivant:) 2000 1427.22 172.2
(S&P)t = 1 + 2 CPIt + ut 2001 1194.18 177.1
Use the least squares to estimate this equation and interpret the results.
(Utiliser les moindres carrs pour estimer cette quation et interprter les
rsultats)
5. The following table Gives data on the gold price, CPI, and New York Stock
Exchange (NYSE) over the period 1977-1991. (Le tableau suivant prsente des
donnes sur le prix de lor, lindice des prix la consommation et lindice du New
York Stock Exchange (NYSE) pour la priode 1977-1991)
Table 5: NYSE, CPI and Gold price (1977-1991)
a) Plot on the same scattergram the NY stock CPI Gold
Gold prices, CPI, and NYSE Exchange 1982 price in
Year
(NYSE) 31 $ per
index. (Reprsenter sur le mme Dec.1965 1984 once
(Anne)
graphique les prix de lor, = 100 = 100 (31.1g)
lindice des prix et lindice du 53.69 60.6 147.98 1977
NYSE) 53.70 65.2 193.44 1978
b) An investment is supposed to be
58.32 72.6 307.62 1979
a protection against inflation. To
68.10 82.4 612.51 1980
test this hypothesis, suppose that
74.02 90.9 459.61 1981
you decide to adjust the
68.93 96.5 376.01 1982
following model, given that the
92.63 99.6 423.83 1983
scattergram in (a) is well fitting
92.46 103.9 360.29 1984
the data (Un investissement est
suppos tre une protection 108.90 107.6 317.3 1985
contre linflation. Pour tester 136.00 109.6 367.87 1986
cette hypothse, supposez que 161.70 113.6 446.5 1987
vous dcidez dajuster le modle 149.91 118.3 436.93 1988
suivant, en supposant que le 180.02 124.0 381.28 1989
graphique de dispersion du (a) 183.46 130.7 384.04 1990
est appropri) 206.33 136.2 362.04 1991
Gold pricet = 1 + 2 CPI t + ut
NYSE indext = 1 + 2 CPI t + ut
60
.

.

) Simultaneous equation models
.(Modles quations simultanes
) (Multiple linear regression - Rgression linaire multiple
)(Multivariate analysis Analyse multivarie
) (Simultaneous models Modles simultans .

.

) (Partial regression coefficient Coefficient de regression partielle
.
b1
Y X 1 . bi
Y
X i ) Holding the effect
of other independent variables constant En gardant les autres variables
.(indpendantes constantes Y
X 1 X 2:
Y = 0 + 1 X1 + 2 X 2 + U
Y K :
Y = 0 + 1 X 1 + 2 X 2 + .... + K X K + U
Y X 1 . X 2
Y Y
K .
61
:
.
: .
:
.
: .
:
:
: :

Y X 1
X 2:
Y = b0 + b1 X 1 + b2 X 2 + e
b0 , b1 , b2
) e 2 = (Y Y .
)2
)
y = b1 x1 + b2 x 2 )(1
) Normal equations Les quations

(normales ) (Partial derivatives
) (Multiply - Multiplier ) (1 x1
:
62
x 1 y = b1 x 12 + b2 x 1 x 2 )(2
) (1 x 2 :
x 2 y = b1 x 1 x 2 + b2 x 22 )(3

b1 b2 ) (2 ) (3:
x1 y x1 x 2
x2 y x 22 ) ( x1 y ) ( x 22 ) ( x 2 y )( x1 x 2
= b1 x12 x1 x 2
= ( x ) ( x ) ( x x
2 2
)2
1 2 1 2
x1 x 2 x 22
x12 x1 y
x1 x 2 x2 y ) ( x 2 y ) ( x12 ) ( x1 y )( x1 x 2
= b2 x12 x1 x 2
= ( x12 )( x22 ) ( x1 x2 )2
x1 x 2 x 22
) (partial derivatives drivs partielles

b1 , b2 :
) e 2 = ( y b1 x1 b2 x2
2
e 2
= 2( y b1 x1 b2 x2 )( x1 ) = 0
b1
e 2
= 2( y b1 x1 b2 x 2 )( x 2 ) = 0
b2
63
b0
n : Y = b0 + b1 X 1 + b2 X 2
b1 X 1 b2 X 2
Y
= + +
b0 n
n n n n
Y = b0 + b1 X 1 + b2 X 2
:
b0 = Y b1 X 1 b2 X 2
x22
S 2
b1 = SSRe sd
n k 1 . ( x 2 ) ( x 2 ) ( x x )2
1 2 1 2
x12
2
=
SS Re sd
S b2 n k 1
. ( x 2 ) ( x 2 ) ( x x )2
1 2 1 2
) ( H 0 ) ( H 1 :
: .
H 0 = 1 = 2 = 3 ...... = = 0
:
) . -
(.
t :
bi
= t S bi
:
= bi m t (0.05 , n k 1 ) S bi
64

) (Time series data Donnes chronologiques
) Cross-section data Donnes
.(en coupes instantanes

) Z (
) X 1 : ( ) X 2
( :
)
Y = 4.20 + 3.49 X 1 0.57 X 2
b1 ) (
) (
Z
Z 3.49 ) ( .

Z
Z 349 . b2

Z
Z 57 .
X i Y ) Cetris paribus Toutes
.(choses gales par ailleurs

) Price index of common stocks Indice des prix des actions
(ordinaires ) Retained earnings Gains
(retenus )The interest rate at which
funds could be borrowed Le taux dintrt auquel les fonds peuvent tre
(emprunts ) The level of investment Le
(niveau dinvestissement ) Quarterly data
(Donnes trimestrielles :
)
Y = 2.3 + 0.091 X 1 + 1.87 X 2 + 0.02 X 3
b1
) (One-point change Un point de changement
)(Cetris paribus - Toutes choses gales par ailleurs
0.091 .
b2 b3 Y X i
.
65
23
: :

) (Matrices - Matrices
) Computer software -
(Logiciels .
Y X1 X2
:
Y = b0 + b1 X 1 + b2 X 2 ) (1
) (1 :
Y = b0 n + b1 X 1 + b2 X 2 )(2
) (1 X1 :
X 1Y = b0 X 1 + b1 X 12 + b2 X 1 X 2 )(3
) (1 X2 :
X 2Y = b0 X 2 + b1 X 1 X 2 + b2 X 22 ) (4
) (2 ) (3 ) (4 :
)( XX b )( XY
23 ) (Raw scores ) (Original scores

).(Statistical treatment
66
n X1 X2 b0 Y
X X 2
X X * b = X Y
1 1 1 2 1 1
X2 X1 X2 X22 b2 X2Y

X (Transpose
) (Vector - Vecteur X (Transpos
X .Y
) Observations
(- Observations Y X1:X2
X1 X2 Y
X 11 X 12 Y1
X 21 X 22 Y2
X 31 X 32 Y3
X 41 X 42 Y4
) (Subscripts - Indices ) Observation -

X11 (Observation
X32 ....
: X X
X X ) ( X X
1 X11 X12
1 1 1 1 n X1 X2
X X X X 1 X21 X22 X X2 X X
11 21 31 41 1 X = 1 1 2
X32 1
X12 X22 X32 X42 31

X2 X1X2 X22
1 X41 X42
67
(Dummy variable Variable indicatrice)

X ( A unit vector Vecteur dunit)
24
. b0
: X Y
24
Ward, J.H., and Jennings, E., "introduction to linear Models". Prentice Hall international, inc., 1973 pp:
26-28
68
X Y (X Y )
Y1
1 1 1 1 Y
X X 21 X 31 X 41 2
Y
= X 1Y
11 Y3
X 12 X 22 X 32
X 42 X 2Y
Y4
) (2 ) (3 ) (4
:
) ( X X ) b = ( X Y
) (premultiply - Prmultiplier ( X X ) 1
:
) b = ( X X ) ( X Y
1
S 2 b0 = C 00 .
SS Re sd
n k 1
S 2 b1 = C11 . SS Re sd
n k 1
S 2 b2 = C 22 . SSRe sd
n k 1
C00 C11C22 ) diagonal values - Valeurs sur la

25
(diagonale ) (Inverse - Inverse ) : ( X X
Yamane, pp: 953-957 25

69
C 00 C 01 C 02
(X X ) 1 = C C C
10 11 12
C 20 C 21 C 22

e 2 = ee

:
SS T = (Y Y ) nY
:
:
)Standard partial
(regression coefficients Coefficients standardiss de rgression partielle
: 26
= R 1 . V
: ) (vector - Vecteur
).(Beta weights Pondrations Beta
: R 1 ) (inverse - Inverse .
: V ) (vector - Vecteur
.
b=
SY
SX
26 ) (interpreting - Interprtion
.
70

: 27
SSRe sd
S 2
b = n k 1
) X ( 1 R 2j
2
R 2j

:
R 2j = 1 1
rj
j
r

R 1 .
: :
) (Residuals - Rsidus

b1b2
.
:
Y = b0 + b1 X 1 + b2 X 2
bi Y
.
X2 X1 Y
X1 X2 .b1 X1
X2 Y X2 X1
.b2
Kerlinger and pedhazur, pp: 65 -67 27

71
The coefficient of multiple determination ) :

(Coefficient de determination multiple
R2
)( Y . X S
R2 :
= R2 = 1
SS Re g SS Re sd
SS T SS T )(1
Y X1 X2
:
)(
)
) SS Re sd = e 2 = e( y y ) = e ( y b1 x1 b2 x2
SS Re sd = ey b1 ex1 b2 ex 2 )(2
ex1 ex 2

:

e2
b1 = 2 ( y b1 x1 b2 x2 ) ( x1 ) = 0
2 ex1 = 0 :
e 2
b2 = 2 ( y b1 x 1 b2 x 2 )( x 2 ) = 0 :

2 ex 2 = 0 :
) (2:
SS Re sd = e y )(3
e ) (3 :
) SS Re sd = y ( y b1 x 1 b2 x 2
72
SS Re sd = y 2 b1 x 1 y b2 x 2 y ) (4
SS Re sd ) (1 ) (4 :
y 2 b1 x 1 y b 2 x 2 y
R2 = 1 y2
:
b1 x 1 y + b2 x2 y
= R2 y2 )(5

(Denominator - Dnominateur) y 2
R 2
. ) (Numerator - Numrateur
xy x .

R 2 : 28
b ( X Y ) nY 2
= R 2
(Y Y ) nY 2
:

(Y Y ) = Y 2
R 2
29
:
R 2 = V1 1 + V 2 2 + ...... + V k k

)
n k 1
R 2 ) (upward biased Biaise vers le haut
) ( Adjusted R2 -R2 ajuste : 30
R 2 = 1 1 R2 ([ ) n 1
n k 1
] )(6
28
Johnstom p:129
29
Kerlinger and pedhazur, p:75
R 2 R 2 30
. Kerlinger and pedhazur, pp: 282-283pp :

73
) (6
n k 1 k = n 1
) (1 R
2

. R 2 = 1 10 )(observations - Observations
9
. R 2 = 1 n k ( N k 1) = n ( n 1) 1 = 0
R
2
R 2 R
2
n
. 0 R 1
2
) (negative - ngative
:
k = 6 n = 10 R 2 = 0.50
10 1
) R 2 = 1 (1 0 .50 = 1 (1 .50 ) = 0 .50
10 6 1

30 .
200 600.
R 2 Y 0.36
R 10 90
2
150 :
R 2 = 1 [(1 0.36 ) 1010311 ] = 0.19
R 2 = 1 [(1 0.36 ) 9090311 ] = 0.34
R 2 = 1 [(1 0.36 ) 150 ]

3 1 = 0 .35
150 1
R 2
R 2 . R 2
.
:

)Evaluating the relative importance of the
independent variables in explaining the variation of the dependent variable
Evaluation de limportance relative des variables indpendante dans
.(lexplication de la variabilit de la variable dpendante
) Significance -
(Signification .
) (Equivalent models Modles quivalents

) (linear Dependency Dpendance linaire
74
b2 b1
) X 1 = F (x2

Y = b0 + b1 X 1 + b2 X 2 + b3 X 3
.

.
X 3
.
Y = b0 + b1 X 1 + b2 X 2
.
RF2 RR2
F:
=F
) (R R ) ( K K
2 2
1 2
)(1 R ) (n k 1
F R
2
F 1
.
k1 K 2 .

X 2 X 3 X 2
:
Y = b0 + b1 X 1 + b3 X 3
.
b1 b1
.

F .

) (Significant - Significative .
) (RF2 RR2
) semi partial correlation semi corrlation
(partielle . 31
31 ) Backward solution - Solution

.(dgressive )(Stepwise solution Solution pas pas
75
R 2
.
Y 10
Y X 6
Y )
R 2 (
X 6 .

) Stepwise solution .
(Solution pas pas
(Statistical Packages of the Social Science) SPSS
).BMD (Biomedical Statistical Package
76

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Professor Dr. Charbaji at CHARBAJI Consultants. Beirut Lebanon.

FILE \ NEW \ WORKFILE

OBJECT / NEW OBJECT / SERIES

) Pairs of observations - Paires

) (The true relationship La vraie relation X and Y

) (The estimated relationship la relation estime X

(The true regression equation La vraie quation de

(The method of least squares

- (The Gauss Markov theorem Thorme de

n (Pairs of observations - Paires

) (Raw scores Scores brutes .

b = 1Y1 + 2Y2 + 3Y3 + ..... + nYn

4Wonnacott & wonnacott pp: 19-20 :

b ) (Unbiased estimate estimation non biaise

) Best unbiased = efficient

: ) (Arithmetic mean ) (Median

OBJECT / NEW OBJECT / EQUATION

) The sum of squares La somme des

11 ) (Prediction - Prvision ) (Regression analysis Analyse de rgression

) The simple correlation coefficient

):(Confidence interval Intervalle de confiance

16 ) (student's t distribution distribution de student t

):(Testing hypotheses Test dhypothses

) Scientific research Recherche

File \ Object \ New Object :

Control \ Show \ Edit +/- : :

View \ Descriptive Statistics \ Individual Samples

View \ Descriptive Statistics \ Correlation Matrix

Object \ New Object \ Equation

View \ Graph \ Scatter \ Scatter With Regression

View Representation \ on the Equation (Output) Window

Residual Table \ on the Equation (Output) Window FittedView Actual

Residual Graph \ on the Equation (Output) Window FittedView Actual

Adjusted Std. Error of

2. A store manager selling TV sets observes the following sales on 10ddifferent

3. In the model Yt = + X t + ut , i =1,.., N, the following sample moments have been

) Normal equations Les quations

) (partial derivatives drivs partielles

23 ) (Raw scores ) (Original scores

) (Subscripts - Indices ) Observation -

X12 X22 X32 X42 31

(Dummy variable Variable indicatrice)

C00 C11C22 ) diagonal values - Valeurs sur la

Yamane, pp: 953-957 25

Kerlinger and pedhazur, pp: 65 -67 27

The coefficient of multiple determination ) :

. Kerlinger and pedhazur, pp: 282-283pp :

R 2 = 1 [(1 0.36 ) 1010311 ] = 0.19

R 2 = 1 [(1 0.36 ) 9090311 ] = 0.34

R 2 = 1 [(1 0.36 ) 150 ]

31 ) Backward solution - Solution

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