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# 13_InferenceC_handout - Inference III F-test(multiple...

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Inference III: F -test (multiple hypothesis) 73-261 Econometrics September 20 Wooldridge 4.5

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p. 2 © CMU / Y. Kryukov 73-261 1.3 Inference III – F-test Announcements HW#3 due this Wednesday Pay attention to formatting HW#4 will be posted by then Due next Tuesday Next week: Monday = review Wednesday = Midterm
p. 3 © CMU / Y. Kryukov 73-261 1.3 Inference III – F-test Formatting your results Nobody likes to look at raw output Including your professor, your TA, your boss, etc. It is (part of) your job to identify and present only the relevant information Presenting regressions: Line format (see homework solutions) Table format (Wooldridge 4.6) Presenting tests: Name the test: t -test, F -test, etc. p -value and economic conclusion actual value of test statistic – only if requested

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p. 4 © CMU / Y. Kryukov 73-261 1.3 Inference III – F-test Review & plan Up to now: β j = 0 , β j − β m = 0 one equation: t -statistic: Follows from: Today: multiple equations Entire regression: β 1 = … = β k = 0 Subset of variables: β j = … = β m = 0 Several ways to compute the test statistic General test for β 1 = b 1 , β 2 = b 2 , …, β m = b m ( ) ( ) ( ) 1 ~ ˆ se ˆ ˆ = k N t f f t β β [ ] 1 2 ) ' ( , Normal ~ ˆ X
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13_InferenceC_handout - Inference III F-test(multiple...

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