F-tests_1 - Econometrics Lecture #9a: F-tests 1 Outline...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon
1 Econometrics Lecture #9a: F-tests
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Outline Last Friday Confidence intervals Hypothesis testing Single coefficient (t-test) This time: Multiple coefficients (F-test) Later… Dummy variables
Background image of page 2
Multiple Linear Restrictions Everything we’ve done so far has involved testing a single linear restriction, (e.g. β 1 = 0) However, we may want to jointly test multiple hypotheses about our parameters A typical example is testing “exclusion restrictions” We want to know if a group of slopes are all zero E.g., does experience matter? F-test whether exp, exp 2 , exp 3 , exp 4 belong in the regression The null hypothesis might be something like “The last q β ’s are zero.”: H 0 : k-q+1 = 0, ... , k = 0 H 1 : H 0 is not true (at least one is not zero)
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Testing Exclusion Restrictions Note: can’t just each t statistic separately, because we want to know if the q slopes are jointly significant For example, what would we say if some were significant and some weren’t?
Background image of page 4
Image of page 5
This is the end of the preview. Sign up to access the rest of the document.

This document was uploaded on 01/31/2011.

Page1 / 11

F-tests_1 - Econometrics Lecture #9a: F-tests 1 Outline...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online