题目：对一元线性回归模型
Y
i
=
β
0
+
β
1
X
i
+
μ
i
Y_{i}=\beta_{0}+\beta_{1}X_{i}+\mu_{i}
Yi=β0+β1Xi+μi，试证明
C
o
v
(
β
0
^
,
β
1
^
)
=
−
σ
2
X
‾
∑
x
i
2
Cov(\widehat{\beta_{0}},\widehat{\beta_{1}})=-\frac{\sigma^2\overline{X}}{\sum{x^2_{i}}}
Cov(β0
,β1
)=−∑xi2σ2X
证明：在给定
X
X
X的样本条件下
C
o
v
(
β
0
^
,
β
1
^
)
=
E
[
(
β
0
^
−
β
0
)
(
β
1
^
−
β
1
]
Cov(\widehat{\beta_{0}},\widehat{\beta_{1}})=E[(\widehat{\beta_{0}}-\beta_{0})(\widehat{\beta_{1}}-\beta_{1}]
Cov(β0
,β1
)=E[(β0
−β0)(β1
−β1]
=
E
[
(
β
0
^
−
E
(
β
0
^
)
)
(
β
1
^
−
E
(
β
1
^
)
)
]
=E[(\widehat{\beta_{0}}-E(\widehat{\beta_{0}}))(\widehat{\beta_{1}}-E(\widehat{\beta_{1}}))]
=E[(β0
−E(β0
))(β1
−E(β1
))]
=
E
[
(
Y
‾
−
β
1
^
X
‾
−
Y
‾
+
X
‾
E
(
β
1
^
)
)
(
β
1
^
−
E
(
β
1
^
)
)
]
=E[(\overline{Y}-\widehat{\beta_{1}}\overline{X}-\overline{Y}+\overline{X}E(\widehat{\beta_{1}}))(\widehat{\beta_{1}}-E(\widehat{\beta_{1}}))]
=E[(Y−β1
X−Y+XE(β1
))(β1
−E(β1
))]
=
−
X
‾
E
[
(
β
1
^
−
E
(
β
1
^
)
)
(
β
1
^
−
E
(
β
1
^
)
)
]
=-\overline{X}E[(\widehat{\beta_{1}}-E(\widehat{\beta_{1}}))(\widehat{\beta_{1}}-E(\widehat{\beta_{1}}))]
=−XE[(β1
−E(β1
))(β1
−E(β1
))]
=
−
X
‾
E
[
(
β
1
^
−
E
(
β
1
^
)
)
]
2
=-\overline{X}E[(\widehat{\beta_{1}}-E(\widehat{\beta_{1}}))]^2
=−XE[(β1
−E(β1
))]2
=
−
X
‾
V
a
r
(
β
1
^
)
=-\overline{X}Var(\widehat{\beta_{1}})
=−XVar(β1
)
=
−
σ
2
X
‾
∑
x
i
2
=-\frac{\sigma^2\overline{X}}{\sum{x^2_{i}}}
=−∑xi2σ2X
计量经济学——一元线性回归模型（例题）
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