Inference IV: Prediction
73-261 Econometrics
September 22
Wooldridge 6.4

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p. 2
© CMU / Y. Kryukov
73-261
1.3 Inference IV: Prediction
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p. 3
© CMU / Y. Kryukov
73-261
1.3 Inference IV: Prediction
Recap of the
F
-test
Hypotheses
H
0
:
β
m
= 0
and
β
m
+1
= 0
and
…
and
β
m+q
−
1
= 0
H
1
:
β
m
≠ 0
or
β
m
+1
≠ 0
or
…
or
β
m+q
−
1
≠ 0
H
1
: at least one variable is meaningful
Interpretation of test statistic
Increase in RSS / original RSS
Loss of explanatory power (goodness of fit)
caused by the restriction
1
ˆ
−
−
−
=
k
N
q
RSS
RSS
RSS
F
ur
ur
r

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