Estudiantes: Johan Chindoy - Juan Pablo Vargas - Juan Felipe Yepes Romero

Econometría I
Demostraciones

1.
𝑦
𝐸 ( ) = 𝛽0 + 𝛽1 𝑥1 + 𝛽2 𝑥2 + ⋯ 𝛽𝑘 𝑥𝑘
𝑥
𝑢
𝑉𝑎𝑟 ( ) = 𝜎 2
𝑥
𝜎2
𝑉𝑎𝑟(𝛽𝑗̅ ) = ,𝑗 = 1…,𝑘
𝑆𝑇𝐶𝑗 (1 − 𝑅𝑗2 )

𝑉𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑑𝑒𝑙 𝑒𝑟𝑟𝑜𝑟 𝜎 2 : 𝑐𝑢𝑎𝑛𝑡𝑜 𝑚á𝑠 𝑎𝑙𝑡𝑜 𝑒𝑙 𝑟𝑢𝑖𝑑𝑜 𝑑𝑒𝑛𝑡𝑟𝑜 𝑑𝑒𝑙 𝑚𝑜𝑑𝑒𝑙𝑜, 𝑚𝑎𝑦𝑜𝑟 𝑠𝑒𝑟á 𝑉𝑎𝑟(𝛽𝑗̅ )

𝑉𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑡𝑜𝑡𝑎𝑙 𝑑𝑒 𝑥𝑗 : 𝑆𝑇𝐶𝑗 𝑐𝑢𝑎𝑛𝑡𝑜 𝑚𝑎𝑦𝑜𝑟 𝑉𝑎𝑟(𝛽𝑗̅ )

→ La cantidad de correlación entre 𝑥2 𝑦 𝑥3 no tiene un gran efecto sobre Var(𝛽̂1 ).

→ Al existir una alta correlación entre 𝑥2 y 𝑥3 , Var(𝛽̂2 )y Var(𝛽̂3 )pueden llegar a ser grandes.

𝜎2
Si 𝑥1 casi no está correlacionada con 𝑥2 y 𝑥3 , entonces 𝑅1 2 = 0 𝑦 𝑉𝑎𝑟(𝛽̂1 ) =
𝑆𝑇𝐶1

𝑺𝒖𝒑𝒖𝒆𝒔𝒕𝒐𝒔 𝑮𝒂𝒖𝒔𝒔 𝑴𝒂𝒓𝒌𝒐𝒗: 𝑴𝒐𝒅𝒆𝒍𝒐

𝛽1̅ 𝑒𝑛 𝑟𝑒𝑔𝑟𝑒𝑠𝑖ó𝑛 𝑚𝑢𝑙𝑡𝑖𝑝𝑙𝑒

𝑦̅ = 𝛽0̅ + 𝛽1̅ 𝑥̅1 + 𝛽2̅ 𝑥̅2

𝑆𝑖 𝛽2 ≠ 0, 𝑒𝑥𝑖𝑠𝑡𝑖𝑟á 𝑠𝑒𝑠𝑔𝑜 𝑒𝑛 𝛽1̅ , 𝑑𝑎𝑑𝑜 𝑞𝑢𝑒 𝑝𝑎𝑟𝑎 𝑒𝑠𝑡𝑒 𝑒𝑠𝑡𝑖𝑚𝑎𝑑𝑜𝑟 𝑒𝑠 𝑝𝑟𝑒𝑓𝑒𝑟𝑖𝑏𝑙𝑒:

𝜎2
𝑉𝑎𝑟(𝛽1̅ ) =
𝑆𝑇𝐶1 (1 − 𝑅12 )

𝜎2
𝑉𝑎𝑟(𝛽1̅ ) =
𝑆𝑇𝐶1

𝑉𝑎𝑟(𝛽1̅ ) < 𝑉𝑎𝑟(𝛽1̅ )

𝑆𝑖 𝛽2 ≠ 0, 𝛽1̅ 𝑒𝑠 𝑠𝑒𝑠𝑔𝑎𝑑𝑜, 𝛽1̅ 𝑒𝑠 𝑖𝑛𝑠𝑒𝑠𝑔𝑎𝑑𝑜 𝑦 𝑉𝑎𝑟(𝛽1̅ ) 𝑦 𝑉𝑎𝑟(𝛽1̅ )

 𝑆𝑖 𝛽2 = 0, 𝛽1̅ 𝑦 𝛽1̅ 𝑠𝑜𝑛 𝑖𝑛𝑠𝑒𝑠𝑔𝑎𝑑𝑜𝑠 𝑦 𝑉𝑎𝑟(𝛽1̅ ) < 𝑉𝑎𝑟(𝛽1̅ )
𝑛
2
𝜎 = 𝐸(𝑢 2 ),
𝑑𝑎𝑑𝑜 𝑞𝑢𝑒 𝑢𝑛 𝑒𝑠𝑡𝑖𝑚𝑎𝑑𝑜𝑟 𝑖𝑛𝑠𝑒𝑠𝑔𝑎𝑑𝑜 𝑑𝑒 𝜎 𝑒𝑠 𝑛2 −1
∑ 𝑢𝑖2
𝑗=1
𝑛

𝑛 −1
𝑆𝑆𝑅 = 𝑛 −1
∑ 𝑢𝑖−2 𝑝𝑒𝑟𝑜 𝑒𝑠𝑡𝑒 𝑢𝑙𝑡𝑖𝑚𝑜 𝑛𝑜 𝑒𝑠 𝑖𝑛𝑠𝑒𝑠𝑔𝑎𝑑𝑜
𝑗=1

→ 𝑃𝑜𝑟 𝑙𝑜 𝑡𝑎𝑛𝑡𝑜, 𝑙𝑜𝑠 𝑟𝑒𝑠𝑖𝑑𝑢𝑜𝑠 𝑛 − 𝑘 − 1 𝑔𝑟𝑎𝑑𝑜𝑠 𝑑𝑒 𝑙𝑖𝑏𝑒𝑟𝑡𝑎𝑑 𝑛 − 𝑘 − 1 = # 𝑑𝑒 𝑜𝑏𝑠𝑒𝑟𝑣𝑎𝑐𝑖𝑜𝑛𝑒𝑠

, 𝑦 𝑐𝑜𝑛 𝑒𝑠𝑡𝑜 𝑙𝑙𝑒𝑔𝑎𝑟 𝑎𝑙 # 𝑑𝑒 𝑝𝑎𝑟á𝑚𝑒𝑡𝑟𝑜𝑠 𝑒𝑠𝑡𝑖𝑚𝑎𝑑𝑜𝑠.

→ 𝐸𝑛𝑡𝑜𝑛𝑐𝑒𝑠, 𝑒𝑙 𝑒𝑠𝑡𝑖𝑚𝑎𝑑𝑜𝑟 𝑖𝑛𝑠𝑒𝑠𝑔𝑎𝑑𝑜 𝑑𝑒 𝜎 2 𝑞𝑢𝑒 ℎ𝑎𝑐𝑒 𝑒𝑙 𝑎𝑗𝑢𝑠𝑡𝑒 𝑝𝑜𝑟 𝑙𝑜𝑠 𝑔𝑟𝑎𝑑𝑜𝑠 𝑑𝑒 𝑙𝑖𝑏𝑒𝑟𝑡𝑎𝑑:

𝑛
1 𝑆𝑅𝑅
2
𝜎 = ∑ 𝑢𝑖−2 =
𝑛−𝑘−1 𝑛−𝑘−1
𝑗=1

2.
𝑦 = 𝑥𝛽 + 𝑢 → 𝑥 = 𝑛(𝑘 + 1)
𝑦 = 𝑥𝛽 + 𝑢 → 𝛽 = (𝑘 + 1) ∗ 1
𝑦 = 𝑥𝛽 + 𝑢 → 𝑥𝛽 = 𝑛 ∗ 1
𝑛

𝑆𝑅𝐶(𝑏) = ∑(𝑦𝑡 − 𝑥𝑡 𝑏)2

𝑡=1

𝛽̅ = (𝛽0̅ , 𝛽1̅ … 𝛽𝑘̅ )

𝜕𝑆𝑅𝐶(𝛽̅ )
=0
𝜕𝑏
𝐿𝑎 𝑑𝑒𝑟𝑖𝑣𝑎𝑑𝑎 𝑑𝑒 (𝑦𝑡 − 𝑥𝑡 𝑏)2 𝑟𝑒𝑠𝑝𝑒𝑐𝑡𝑜 𝑏:
𝑛

(𝑘 + 1), −2(𝑦𝑡 − 𝑥𝑡 𝑏)𝑥𝑡 = ∑ 𝑥𝑡1 (𝑦𝑡 − 𝑥𝑡 𝛽̅ ) = 0

𝑡=1

𝑥 1 (𝑦 − 𝑥𝛽̅ ) = 0

((𝑥 1 𝑥)𝛽̅ ) = 𝑥 1 𝑦

→ 𝐶𝑜𝑛 𝑒𝑙 𝑓𝑖𝑛 𝑑𝑒 𝑟𝑒𝑠𝑜𝑙𝑣𝑒𝑟 𝑒𝑙 𝑒𝑠𝑡𝑖𝑚𝑎𝑑𝑜𝑟 𝛽̅ 𝑎 𝑡𝑟𝑎𝑣é𝑠 𝑑𝑒 𝑀𝑖𝑛𝑖𝑚𝑜𝑠 𝐶𝑢𝑎𝑑𝑟𝑎𝑑𝑜𝑠 𝑂𝑟𝑑𝑖𝑛𝑎𝑟𝑖𝑜𝑠:

 𝛽̅ = (𝑥 1 𝑥)−1 𝑥 1 𝑦

→ 𝐷𝑎𝑛𝑑𝑜 𝑖𝑛𝑑𝑒𝑝𝑒𝑛𝑑𝑒𝑛𝑐𝑖𝑎 𝑙𝑖𝑛𝑒𝑎𝑙 𝑎 𝑙𝑎𝑠 𝑐𝑜𝑙𝑢𝑚𝑛𝑎𝑠 𝑑𝑒 𝑥 𝑦 𝑠𝑖𝑚𝑝𝑙𝑖𝑓𝑖𝑐𝑎𝑛𝑑𝑜 𝛽̅ :

𝛽̅ = (𝑥 1 𝑥)−1 𝑥 1 𝑦 = 𝑥 −1 (𝑥 1 )−1 𝑥1 𝑦 = 𝑥 −1 𝑦

→ 𝐶𝑜𝑚𝑜 𝑙𝑎 𝑚𝑎𝑡𝑟𝑖𝑧 𝑥 𝑛𝑜 𝑒𝑠 𝑢𝑛𝑎 𝑚𝑎𝑡𝑟𝑖𝑧 𝑐𝑢𝑎𝑑𝑟𝑎𝑑𝑎 𝑛𝑜 𝑠𝑒 𝑝𝑢𝑒𝑑𝑒 𝑠𝑢𝑝𝑜𝑛𝑒𝑟 𝑞𝑢𝑒:

(𝑥 1 𝑥)−1 = 𝑥 −1 (𝑥 1 )−1 𝑒𝑥𝑐𝑒𝑝𝑡𝑜 𝑐𝑢𝑎𝑛𝑑𝑜 𝑛 = 𝑘 + 1

→ 𝐸𝑛𝑡𝑜𝑛𝑐𝑒𝑠, 𝑙𝑜𝑠 𝑣𝑒𝑐𝑡𝑜𝑟𝑒𝑠 𝑛 ∗ 1 𝑑𝑒 𝑙𝑜𝑠 𝑣𝑎𝑙𝑜𝑟𝑒𝑠 𝑎𝑗𝑢𝑠𝑡𝑎𝑑𝑜𝑠 𝑦 𝑟𝑒𝑠𝑖𝑑𝑢𝑎𝑙𝑒𝑠 𝑎 𝑡𝑟𝑎𝑣é𝑠 𝑑𝑒 𝑀𝐶𝑂:

𝑦̅ = 𝑥𝛽, 𝑢̅ = 𝑦 − 𝑦̅ = 𝑦 − 𝑥𝛽̅
→ 𝑢̅ 𝑑𝑎𝑑𝑎𝑠 𝑙𝑎𝑠 𝐶𝑃𝑂:

𝛽̅ = 𝑥 1 𝑢̅ = 0
→ 𝐸𝑛𝑡𝑜𝑛𝑐𝑒𝑠, 𝑙𝑎 𝑠𝑢𝑚𝑎 𝑑𝑒 𝑙𝑜𝑠 𝑟𝑒𝑠𝑖𝑑𝑢𝑜𝑠 𝑎𝑙 𝑐𝑢𝑎𝑑𝑟𝑎𝑑𝑜 𝑠𝑒𝑟á:
𝑛

𝑆𝑅𝐶 = ∑ 𝑢̅𝑡2 = 𝑢̅−1 𝑢̅ = (𝑦 − 𝑥𝛽)1 (𝑦 − 𝑥𝛽̅ )

𝑡=1