Chapter 3, Exercise Solutions, Principles of Econometrics, 3e44Exercise 3.7 (continued) (e) The two hypotheses are H0:jα= 0 versus H1:jα≠0. The test statistic, given H0is true, is ()()118~sejjatta=The rejection region is 1.980t< −and 1.980t>, where (0.975,118)1.980t=. The results for each company are given in the following table: Stock t-value Decision rule Disney 0.00100.1520.0067t−== −Since 1.981.98t−<<, fail to reject 0HGE 0.00591.1990.0049t==Since 1.981.98t−<<, fail to reject 0HGM 0.00230.3170.0073t−== −Since 1.981.98
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