econ466mt2a - Economics 466: Introductory Econometrics...

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Economics 466: Introductory Econometrics State University of New York at Binghamton Department of Economics Fall 2011 Midterm II — Answers 1. (a) R 2 u is the R 2 from the unrestricted model, R 2 r is the R 2 from the restricted model (the model that imposes the null hypothesis, q is the numerator degrees of freedom (the number of restrictions in the null hypothesis — i.e., the number of equality signs in the null hypothesis), n k 1i s the denominator degrees of freedom (the number of observations minus the number of estimated parameters). (b) Note that R 2 u =1 SSR u SST and R 2 r =1 SSR r SST ,then F = ( 1 SSR u SST 1+ SSR r SST ) /q ( 1 1+ SSRu SST ) / ( n k 1) = ( SSR r SST SSR u SST ) /q ( SSRu SST ) / ( n k 1) = 1 SST ( SSR r SSR u ) /q 1 SST ( SSR u ) / ( n k 1) = ( SSR r SSR u ) /q ( SSR u ) / ( n k 1) (c) SSR = P n i =1 b u 2 i
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This note was uploaded on 02/02/2012 for the course ECON 466 taught by Professor Henderson during the Fall '08 term at Binghamton University.

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econ466mt2a - Economics 466: Introductory Econometrics...

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