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
t
t
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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- Spring '11
- JanSveceny
- Econometrics, Null hypothesis, Statistical hypothesis testing, t=
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