class15-06 - Econ 444 Wednesday November 15 class 15 Econ...

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Econ 444, Wednesday November 15, class 15 Econ 444, Wednesday November 15, class 15 Robert de Jong 1 1 Department of Economics Ohio State University Robert de Jong Econ 444, Wednesday November 15, class 15
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Econ 444, Wednesday November 15, class 15 Wednesday November 15 1 Exercise of last Wednesday 2 F -tests 3 Heteroskedasticity Robert de Jong Econ 444, Wednesday November 15, class 15
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Econ 444, Wednesday November 15, class 15 Exercise 1. coefficient = -901; standard error = 540; so coefficient is 901/540=1.67 standard errors away from zero Conclusion: do not reject the null that the coefficient is zero 2. The long regression - that is, if we are interested in the existence of wage discrimination instead of in the existence of wage differences between men and women 3. West: 341/562 = 0.61 East: 344/668 = 0.51 South: 861/659 = 1.31 Conclusion: we cannot reject the null that the coefficient equals zero in any case Robert de Jong Econ 444, Wednesday November 15, class 15
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Econ 444, Wednesday November 15, class 15 4. F -test tests for the hypothesis that the coefficients for west, east and south are all zero at the same time We test for such a hypothesis using an F -test Here: the F -test rejects, but no t -test rejects: conflicting statistical evidence This is fairly arbitrary but: 1. leaving out a variable can make regression results erroneous 2. including irrelevant variables will not hurt us suggestion: leave the regional dummy variables in! Robert de Jong Econ 444, Wednesday November 15, class 15
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Econ 444, Wednesday November 15, class 15 F -test: tests a so-called “multiple hypothesis" Examples: 1 β 1 = β 2 = β 3 = 0 (three regional dummies) 2 β 1 = β 2
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class15-06 - Econ 444 Wednesday November 15 class 15 Econ...

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