econometrics ch 7 - Introduction to Econometrics Chapter 7:...

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Unformatted text preview: Introduction to Econometrics Chapter 7: Hypothesis Testing and Con dence Intervals in Multiple Regression Geo rey Williams [email protected] April 2, 2010 Geo rey Williams [email protected] Introduction to Econometrics Chapter 7: Hypothesis Testin Hypothesis Testing and Con dence Intervals for a Single Coe cient It's all pretty much exactly the same as we learned in Chapter 5, which was pretty similar to what we learned in Chapter 3. Geo rey Williams [email protected] Introduction to Econometrics Chapter 7: Hypothesis Testin Class Size Example With just STR and PctEL : \ TestScore = 686 : 1 : 10 STR : 650 PctEl ( 8 : 7 ) ( : 43 ) ( : 031 ) If we add Expn , expenditures per pupil, we get: \ TestScore = 649 : 6 : 29 STR + 3 : 87 Expn : 650 PctEl ( 15 : 5 ) ( : 48 ) ( 1 : 59 ) ( : 032 ) Geo rey Williams [email protected] Introduction to Econometrics Chapter 7: Hypothesis Testin Combining Null Hypotheses In the text, the authors discuss an angry taxpayer , who doesn't believe that either class size or expenditure makes a di erence. How would we write this taxpayer's null hypothesis? H : 1 = 0 and 2 = 0 vs. H 1 : 1 6 = 0 and/or 2 6 = We would say the taxpayer is imposing two restrictions on the regression model: 1 = 0 and 2 = 0. Geo rey Williams [email protected] Introduction to Econometrics Chapter 7: Hypothesis Testin Joint Hypotheses Any case where we are testing: H : j = j ; ; m = m ; ;:::; up to q restrictions vs. H 1 : one or more of the q restrictions does not hold Why not just test them one at a time?...
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This note was uploaded on 01/22/2012 for the course ECONOMICS 220:322 taught by Professor Otusbo during the Fall '10 term at Rutgers.

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econometrics ch 7 - Introduction to Econometrics Chapter 7:...

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