econometrics ch 5 - Testing Hypothesis About Coe cients Con...

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Unformatted text preview: Testing Hypothesis About Coe cients Con dence Intervals Regression on a Binary Variable Heteroskedasticity and Homoskedasticity Gauss-Markov Theorem Introduction to Econometrics Chapter 5: Regression with a Single Regressor: Hypothesis Testing Geo rey Williams [email protected] October 11, 2010 Geo rey Williams [email protected] Introduction to Econometrics Chapter 5: Regression with a Testing Hypothesis About Coe cients Con dence Intervals Regression on a Binary Variable Heteroskedasticity and Homoskedasticity Gauss-Markov Theorem How strong is that pattern? Just because we can t a line doesn't necessarily mean the line MEANS SOMETHING. In the previous chapter we discussed t . An even more important idea is the signi cance of the regression coe cient(s). In the case of the school districts data, we found a coe cient of 2 : 28 - reducing average class size in a school district by one student was related to a 2.28 point increase in test scores. In theory the school administrators could use that information, reduce class sizes and improve results. But that would cost a huge amount of money - before you do that, you want to be sure. Geo rey Williams [email protected] Introduction to Econometrics Chapter 5: Regression with a Testing Hypothesis About Coe cients Con dence Intervals Regression on a Binary Variable Heteroskedasticity and Homoskedasticity Gauss-Markov Theorem How strong is that pattern? Just because we can t a line doesn't necessarily mean the line MEANS SOMETHING. In the previous chapter we discussed t . An even more important idea is the signi cance of the regression coe cient(s). In the case of the school districts data, we found a coe cient of 2 : 28 - reducing average class size in a school district by one student was related to a 2.28 point increase in test scores. In theory the school administrators could use that information, reduce class sizes and improve results. But that would cost a huge amount of money - before you do that, you want to be sure. Geo rey Williams [email protected] Introduction to Econometrics Chapter 5: Regression with a Testing Hypothesis About Coe cients Con dence Intervals Regression on a Binary Variable Heteroskedasticity and Homoskedasticity Gauss-Markov Theorem Hypothesis Testing! Again! Just as we did in chapter 3, we can formulate a 2-sided or 1-sided hypothesis. Two-sided version would be: H : 1 = 1 ; vs. H 1 : 1 6 = 1 ; A one-sided version would be: H : 1 = 1 ; vs. H 1 : 1 < 1 ; or H : 1 = 1 ; vs. H 1 : 1 > 1 ; Geo rey Williams [email protected] Introduction to Econometrics Chapter 5: Regression with a Testing Hypothesis About Coe cients Con dence Intervals Regression on a Binary Variable Heteroskedasticity and Homoskedasticity Gauss-Markov Theorem Hypothesis Testing! Again!...
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econometrics ch 5 - Testing Hypothesis About Coe cients Con...

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