econometrics (Page 338)

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0.5914), as we do shortly in (5.3.9), wecannotsay the probability is 95% that this interval includes the trueβ2. That probability is either 1 or 0. How are the confidence intervals constructed? From the preceding discussion one may expect that if the sampling or probability distributions of the estimators are known, one can make confidence interval statements such as (5.2.1). In Chapter 4 we saw that under the assumption of normality of the disturbances ui the OLS estimators ˆ β1 and ˆ β2 are themselves normally distributed and that the OLS estimatorˆ σ
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