60 Questions
3 Views

# Statistics "Fill in the blank spaces" quiz

Created by
@ClearerKoala

## Questions and Answers

independent

continuous

one

### The multiple linear regression model has ______ or more independent variables.

<p>two</p> Signup and view all the answers

### The linear regression model describes how the dependent variable is related to the independent variables and the ______ term.

<p>error</p> Signup and view all the answers

### The estimated regression equation shows how to calculate predicted values of the dependent variable using the values of the ______ variables.

<p>independent</p> Signup and view all the answers

### The least squares method is used to calculate the coefficients so that the errors are as ______ as possible.

<p>small</p> Signup and view all the answers

### The coefficient of determination (R-squared) provides a measure of the ______ of fit for the estimated regression equation.

<p>goodness</p> Signup and view all the answers

### Adjusted R-squared corrects for the number of independent variables and is ______ to R-squared.

<p>preferred</p> Signup and view all the answers

### The t-test is used to determine whether the relationship between the dependent variable and ______ independent variable is significant.

<p>one</p> Signup and view all the answers

### The ANOVA table shows the total variation, explained variation due to regression, and unexplained variation due to ______.

<p>error</p> Signup and view all the answers

### The goal is to find a regression model with coefficients that are ______ significant.

<p>jointly</p> Signup and view all the answers

### An estimator is consistent if it converges in probability to the population parameter as the sample size increases. The probability that the estimator obtained from a sample size will be arbitrarily close to the population parameter goes to 1 as the sample size increases.

<p>true</p> Signup and view all the answers

### The OLS estimator is unbiased under assumptions 1-4 (with the zero conditional mean assumption).

<p>true</p> Signup and view all the answers

### Under assumptions 1-4’ (with the assumption that the regressors are uncorrelated with the error term), the OLS estimator is ______.

<p>consistent</p> Signup and view all the answers

### Unbiasedness is ideal but if it cannot be achieved in a small sample, then ______ can be achieved with a large sample.

<p>consistency</p> Signup and view all the answers

### Omitted variable bias occurs when a relevant variable is omitted from the model and the coefficient will be biased if the omitted variable and the included variable are ______.

<p>correlated</p> Signup and view all the answers

### Under assumptions 1-5 (Gauss Markov assumptions), the coefficients have asymptotically ______ sampling distribution.

<p>normal</p> Signup and view all the answers

### In large samples, the normality assumption is not always needed for the OLS estimators to be normal and the t-tests and F-tests to be ______.

<p>valid</p> Signup and view all the answers

### OLS properties hold for any sample, including expected values and unbiasedness under assumptions 1-4 and variance formulas under ______.

<p>assumptions 1-5</p> Signup and view all the answers

### Gauss-Markov theorem (BLUE) holds under ______ 1-5.

<p>assumptions</p> Signup and view all the answers

### As the sample size increases, standard errors change at a rate of 1/sample size and with larger sample size, standard errors are ______, leading to more significance of the coefficients.

<p>lower</p> Signup and view all the answers

### The OLS estimator is consistent if the omitted variable is ______ or uncorrelated.

<p>irrelevant</p> Signup and view all the answers

### The OLS estimator is ______ if assumptions 1-4’ hold.

<p>consistent</p> Signup and view all the answers

### Linear regression models the relationship between a dependent variable and one or more ______ variables.

<p>independent</p> Signup and view all the answers

### The regression model can be in linear or ______-linear form, and taking logs of variables changes the interpretation of coefficients.

<p>log</p> Signup and view all the answers

### Gauss Markov assumptions are standard assumptions for the linear regression model, including linearity in parameters, random sampling, no perfect collinearity, ______, and homoscedasticity.

<p>exogeneity</p> Signup and view all the answers

### [Blank] means the variance of the error term is constant for each independent variable while heteroscedasticity means the variance differs.

<p>homoscedasticity</p> Signup and view all the answers

### The unbiasedness of the OLS estimators is derived from ______ Markov assumptions.

<p>Gauss</p> Signup and view all the answers

### The standard errors measure how precisely the regression coefficients are calculated, and lower variance in error term and higher variance in ______ variable is desirable.

<p>independent</p> Signup and view all the answers

### The variance of the error term can be ______, and the variances of the OLS estimators depend on it.

<p>estimated</p> Signup and view all the answers

### The sample variability in OLS coefficients depends on the variances of the error term and ______ variable.

<p>independent</p> Signup and view all the answers

### The coefficients are random as the sample is random, and the expected values of the sample coefficients are the ______ parameters.

<p>population</p> Signup and view all the answers

### The relationship between y and x is ______ in the population, but the regression model can have logged, squared, or interaction variables.

<p>linear</p> Signup and view all the answers

### [Blank] or zero conditional mean implies the expected value of the error term given independent variable x is zero.

<p>Exogeneity</p> Signup and view all the answers

### [Blank] is when the variance of the error term is constant for each independent variable.

<p>Homoscedasticity</p> Signup and view all the answers

### Linear regression models the relationship between a dependent variable and one or more ______ variables.

<p>independent</p> Signup and view all the answers

### The ______ model can be in linear or log-linear form, and taking logs of variables changes the interpretation of coefficients.

<p>regression</p> Signup and view all the answers

### Gauss Markov assumptions are standard assumptions for the linear regression model, including linearity in parameters, ______ sampling, no perfect collinearity, exogeneity, and homoscedasticity.

<p>random</p> Signup and view all the answers

### ______ means the variance of the error term is constant for each independent variable while heteroscedasticity means the variance differs.

<p>Homoscedasticity</p> Signup and view all the answers

### The unbiasedness of the OLS estimators is derived from ______ assumptions.

<p>Gauss Markov</p> Signup and view all the answers

### The standard errors measure how precisely the regression coefficients are calculated, and lower variance in error term and higher variance in independent variable is ______.

<p>desirable</p> Signup and view all the answers

### The variance of the error term can be estimated, and the variances of the OLS estimators ______ on it.

<p>depend</p> Signup and view all the answers

### The sample variability in OLS coefficients depends on the variances of the error term and ______ variable.

<p>independent</p> Signup and view all the answers

### The coefficients are random as the sample is random, and the expected values of the sample coefficients are the ______ parameters.

<p>population</p> Signup and view all the answers

### The relationship between y and x is ______ in the population, but the regression model can have logged, squared, or interaction variables.

<p>linear</p> Signup and view all the answers

### Exogeneity or zero conditional mean implies the expected value of the error term given independent variable x is ______.

<p>zero</p> Signup and view all the answers

### ______ is when the variance of the error term is constant for each independent variable.

<p>Homoscedasticity</p> Signup and view all the answers

### Heteroscedasticity refers to a scenario where the variance of the error term differs with the ______ variables.

<p>independent</p> Signup and view all the answers

### Under heteroscedasticity, OLS estimators are still unbiased and consistent, but the variance formulas for the OLS estimators are not ______.

<p>valid</p> Signup and view all the answers

### The t-tests and F-tests are not valid under heteroscedasticity, and the OLS estimator is not the best linear unbiased estimator (BLUE).

Signup and view all the answers

### Hypothesis testing for heteroscedasticity involves testing whether the expected value of the error term varies with the ______ variables.

<p>independent</p> Signup and view all the answers

### The Breusch-Pagan test, White test, and Alternative White test are commonly used tests for ______.

<p>heteroscedasticity</p> Signup and view all the answers

### Robust standard errors should be used when ______ is found.

<p>heteroscedasticity</p> Signup and view all the answers

### Weighted Least Squares (WLS) can be used to estimate the model if the heteroskedasticity form is ______.

<p>known</p> Signup and view all the answers

### Feasible Generalized Least Squares (FGLS) transforms the variables to get homoscedasticity if the heteroscedasticity form is ______ known.

<p>not</p> Signup and view all the answers

### The R-squared for the regressions of squared residuals on independent variables is used to calculate the test statistics for heteroscedasticity ______.

<p>tests</p> Signup and view all the answers

### The F-test and LM-test are commonly used tests for overall significance of ______.

<p>heteroscedasticity</p> Signup and view all the answers

### The regression model for price needs correction for ______.

<p>heteroscedasticity</p> Signup and view all the answers

### The R-squared for the regressions of squared residuals on independent variables is used to calculate the test statistics for heteroscedasticity tests for ______ price.

<p>log</p> Signup and view all the answers

## Study Notes

Linear Regression Overview

• Linear regression is used to explain the relationship between a dependent variable and one or more independent variables.
• The dependent variable is a continuous variable, while the independent variables can be continuous, discrete, or indicator variables.
• The simple linear regression model has one independent variable, while the multiple linear regression model has two or more independent variables.
• The linear regression model describes how the dependent variable is related to the independent variables and the error term.
• The estimated regression equation shows how to calculate predicted values of the dependent variable using the values of the independent variables.
• The least squares method is used to calculate the coefficients so that the errors are as small as possible.
• The coefficient of determination (R-squared) provides a measure of the goodness of fit for the estimated regression equation.
• Adjusted R-squared corrects for the number of independent variables and is preferred to R-squared.
• The t-test is used to determine whether the relationship between the dependent variable and one independent variable is significant.
• The F-test is used to test whether the relationship between the dependent variable and all independent variables is significant.
• The ANOVA table shows the total variation, explained variation due to regression, and unexplained variation due to error.
• The goal is to find a regression model with coefficients that are jointly significant.

Linear Regression Overview

• Linear regression is used to explain the relationship between a dependent variable and one or more independent variables.
• The dependent variable is a continuous variable, while the independent variables can be continuous, discrete, or indicator variables.
• The simple linear regression model has one independent variable, while the multiple linear regression model has two or more independent variables.
• The linear regression model describes how the dependent variable is related to the independent variables and the error term.
• The estimated regression equation shows how to calculate predicted values of the dependent variable using the values of the independent variables.
• The least squares method is used to calculate the coefficients so that the errors are as small as possible.
• The coefficient of determination (R-squared) provides a measure of the goodness of fit for the estimated regression equation.
• Adjusted R-squared corrects for the number of independent variables and is preferred to R-squared.
• The t-test is used to determine whether the relationship between the dependent variable and one independent variable is significant.
• The F-test is used to test whether the relationship between the dependent variable and all independent variables is significant.
• The ANOVA table shows the total variation, explained variation due to regression, and unexplained variation due to error.
• The goal is to find a regression model with coefficients that are jointly significant.

OLS Asymptotics

• An estimator is consistent if it converges in probability to the population parameter as the sample size increases.
• The probability that the estimator obtained from a sample size will be arbitrarily close to the population parameter goes to 1 as the sample size increases.
• The OLS estimator is unbiased under assumptions 1-4 (with the zero conditional mean assumption).
• Under assumptions 1-4’ (with the assumption that the regressors are uncorrelated with the error term), the OLS estimator is consistent.
• Unbiasedness is ideal but if it cannot be achieved in a small sample, then consistency can be achieved with a large sample.
• Omitted variable bias occurs when a relevant variable is omitted from the model and the coefficient will be biased if the omitted variable and the included variable are correlated.
• The OLS estimator is consistent if the omitted variable is irrelevant or uncorrelated.
• Under assumptions 1-5 (Gauss Markov assumptions), the coefficients have asymptotically normal sampling distribution.
• In large samples, the normality assumption is not always needed for the OLS estimators to be normal and the t-tests and F-tests to be valid.
• OLS properties hold for any sample, including expected values and unbiasedness under assumptions 1-4 and variance formulas under assumptions 1-5.
• Gauss-Markov theorem (BLUE) holds under assumptions 1-5.
• As the sample size increases, standard errors change at a rate of 1/sample size and with larger sample size, standard errors are lower, leading to more significance of the coefficients.

Introduction to Linear Regression

• Linear regression models the relationship between a dependent variable and one or more independent variables.
• The regression model can be in linear or log-linear form, and taking logs of variables changes the interpretation of coefficients.
• Gauss Markov assumptions are standard assumptions for the linear regression model, including linearity in parameters, random sampling, no perfect collinearity, exogeneity, and homoscedasticity.
• Homoscedasticity means the variance of the error term is constant for each independent variable while heteroscedasticity means the variance differs.
• The unbiasedness of the OLS estimators is derived from Gauss Markov assumptions.
• The standard errors measure how precisely the regression coefficients are calculated, and lower variance in error term and higher variance in independent variable is desirable.
• The variance of the error term can be estimated, and the variances of the OLS estimators depend on it.
• The sample variability in OLS coefficients depends on the variances of the error term and independent variable.
• The coefficients are random as the sample is random, and the expected values of the sample coefficients are the population parameters.
• The relationship between y and x is linear in the population, but the regression model can have logged, squared, or interaction variables.
• Exogeneity or zero conditional mean implies the expected value of the error term given independent variable x is zero.
• Homoscedasticity is when the variance of the error term is constant for each independent variable.

Introduction to Linear Regression

• Linear regression models the relationship between a dependent variable and one or more independent variables.
• The regression model can be in linear or log-linear form, and taking logs of variables changes the interpretation of coefficients.
• Gauss Markov assumptions are standard assumptions for the linear regression model, including linearity in parameters, random sampling, no perfect collinearity, exogeneity, and homoscedasticity.
• Homoscedasticity means the variance of the error term is constant for each independent variable while heteroscedasticity means the variance differs.
• The unbiasedness of the OLS estimators is derived from Gauss Markov assumptions.
• The standard errors measure how precisely the regression coefficients are calculated, and lower variance in error term and higher variance in independent variable is desirable.
• The variance of the error term can be estimated, and the variances of the OLS estimators depend on it.
• The sample variability in OLS coefficients depends on the variances of the error term and independent variable.
• The coefficients are random as the sample is random, and the expected values of the sample coefficients are the population parameters.
• The relationship between y and x is linear in the population, but the regression model can have logged, squared, or interaction variables.
• Exogeneity or zero conditional mean implies the expected value of the error term given independent variable x is zero.
• Homoscedasticity is when the variance of the error term is constant for each independent variable.

Heteroscedasticity and its Consequences

• Heteroscedasticity refers to a scenario where the variance of the error term differs with the independent variables.

• Under heteroscedasticity, OLS estimators are still unbiased and consistent, but the variance formulas for the OLS estimators are not valid.

• The t-tests and F-tests are not valid under heteroscedasticity, and the OLS estimator is not the best linear unbiased estimator (BLUE).

• Hypothesis testing for heteroscedasticity involves testing whether the expected value of the error term varies with the independent variables.

• The Breusch-Pagan test, White test, and Alternative White test are commonly used tests for heteroscedasticity.

• Robust standard errors should be used when heteroscedasticity is found.

• Weighted Least Squares (WLS) can be used to estimate the model if the heteroskedasticity form is known.

• Feasible Generalized Least Squares (FGLS) transforms the variables to get homoscedasticity if the heteroscedasticity form is not known.

• The R-squared for the regressions of squared residuals on independent variables is used to calculate the test statistics for heteroscedasticity tests.

• The F-test and LM-test are commonly used tests for overall significance of heteroscedasticity.

• The regression model for price needs correction for heteroscedasticity.

• The R-squared for the regressions of squared residuals on independent variables is used to calculate the test statistics for heteroscedasticity tests for log price.Heteroscedasticity and Regression Models

• Heteroscedasticity is a condition where the variance of the errors is not constant across the range of values of the independent variable.

• Heteroscedasticity can lead to biased coefficients, incorrect variance for the coefficients, and invalid t-tests and F-tests.

• Three tests are used to identify heteroscedasticity: Breusch-Pagan test, White test, and Alternative White test.

• The Breusch-Pagan test and White test are based on regressing the squared residuals on the independent variables.

• The Alternative White test is based on regressing the squared residuals on the fitted values and squared fitted values.

• If the heteroscedasticity form is known, weighted least squares (WLS) can be used to correct for it.

• WLS assigns weights to each observation based on the inverse of the variance of the error term.

• If the heteroscedasticity form is unknown, feasible generalized least squares (FGLS) can be used.

• FGLS assigns weights to each observation based on the inverse of the estimated variance of the error term.

• The coefficients are the same for ordinary least squares (OLS) and OLS with robust standard errors, but the standard errors and significance can differ.

• The coefficients are different for OLS as compared to WLS and FGLS because of the use of weights.

• After correcting for heteroscedasticity, the results of the various regression models (OLS, OLS with robust standard errors, WLS, and FGLS) are similar, except for the loss of significance of one coefficient in some models.

## Studying That Suits You

Use AI to generate personalized quizzes and flashcards to suit your learning preferences.

## Description

Test your understanding of linear regression with this quiz! Learn about the basics of linear regression, including the differences between simple and multiple regression models, how to calculate predicted values using the estimated regression equation, and the importance of the coefficient of determination. This quiz will also cover the least squares method, t-tests, F-tests, and the ANOVA table. Sharpen your skills and see how well you understand this fundamental statistical tool.

## More Quizzes Like This

5 questions
5 questions
Use Quizgecko on...
Browser
Information:
Success:
Error: