44 - Chapter 3, Exercise Solutions, Principles of...

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Chapter 3, Exercise Solutions, Principles of Econometrics, 3e 44 Exercise 3.7 (continued) (e) The two hypotheses are H 0 : j α = 0 versus H 1 : j α ≠ 0. The test statistic, given H 0 is true, is () 118 ~ se j j a tt a = The rejection region is 1.980 t <− and 1.980 t > , where (0.975,118) 1.980 t = . The results for each company are given in the following table: Stock t -value Decision rule Disney 0.0010 0.152 0.0067 t == Since 1.98 1.98 t << , fail to reject 0 H GE 0.0059 1.199 0.0049 t Since 1.98 1.98 t , fail to reject 0 H GM 0.0023 0.317 0.0073 t Since 1.98 1.98
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This note was uploaded on 11/23/2011 for the course ECON MPBE taught by Professor Jansveceny during the Spring '11 term at Metropolitní Univerzita Praha.

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