For the first question x'(y-bx)<>0 or Cov(Ui,Xi)<>0 you have heterogeinity
problem !
OLS estimator in this case in biased.
The bias is equal to (Exx')^{-1}Exu
You obtain obtain correct estimator by use instrumental variable or 2SLS ...
Justin BEM
Elève Ingénieur Statisticien Economiste
BP 294 Yaoundé.
Tél (00237)9597295.
----- Message d'origine ----
De : "Leeds, Mark (IED)" <[EMAIL PROTECTED]>
À : r-help@stat.math.ethz.ch
Cc : C. Park <[EMAIL PROTECTED]>
Envoyé le : Mardi, 5 Décembre 2006, 21h42mn 21s
Objet : [R] stat question - not R question so ignore if not interested
If do a scattrplot of data ( x and y ) and there are two clouds of
points. One cloud is in the left
bottom corner of the plot and the other cloud is in the upper right.
If I fit a regression line to this data ( or equivalently , calculate a
correlation ), then obviously, it is going to seem like
x and y are related because a line has to be connected between the 2
clouds. But, there must be a regression assumption that
is violated here because if the regressions are done separately on each
cloud, then there really isn't
a relationship between x and y. I was just wondering 1) what assumption
in regression is being violated in
the first case or 2) possibly if the regression is valid and the results
just have some different interpreation ?
Thanks.
Mark
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