# HW5 - Econ 444 Elementary Econometrics Fall 2007 SUMMARY of...

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Unformatted text preview: Econ 444 Elementary Econometrics Fall 2007 SUMMARY of CHAPTER 5 and HOMEWORK EXERCISE: 5 Due at the beginning of class on Wednesday, November 7 1 KEY TERMS AND CONCEPTS Confidence intervals, Confidence level, The t test, Critical value, Type I error, Type II error, Level of significance, Two-tailed test, One-tailed test, Joint hypothesis testing, F test 2 FORMULAS AND RESULTS t = ˆ β k- β k SE ( ˆ β k ) (1) is distributed as the t-distribution with ( N- K ) degrees of freedom for k=1,2,...,K. To form a confidence interval, we first choose the confidence level, say 0.95, and find the t C value such that P [ ˆ β k- t C SE ( ˆ β k ) ≤ β k ≤ ˆ β k + t C SE ( ˆ β k )] = 0 . 95 . (2) For a two-tailed test, compute the t test statistic from Equation (1), get t C (the critical value ) from Table B-1, and reject H if | t | > t C and accept H if | t | ≤ t C . For a multiple regression with K independent variables, F = R 2 /K (1- R 2 ) / ( N- K- 1) (3) follows the F distribution with...
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HW5 - Econ 444 Elementary Econometrics Fall 2007 SUMMARY of...

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