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Unformatted text preview: SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression Hypothesis Testing in Context of Regression Analysis SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 1. Testing Individual Significance of Regression Coefficients A. Should X k be included in the regression equation? Does it have any effect on Y ? SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 1. Testing Individual Significance of Regression Coefficients A. Should X k be included in the regression equation? Does it have any effect on Y ? B. t test in the context of regression analysis: • H : β k = 0 vs. H 1 : β k ≠ 0 (whether β k is significantly different from zero) SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 1. Testing Individual Significance of Regression Coefficients A. Should X k be included in the regression equation? Does it have any effect on Y ? B. t test in the context of regression analysis: • H : β k = 0 vs. H 1 : β k ≠ 0 (whether β k is significantly different from zero) • Under H , • Decision rule: α, critical value, and pvalue of the calculated t statistic. ) ,..., 2 , 1 , ( ~ ) ˆ ( ˆ ) 1 ( K k t se K N k k SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 1. Testing Individual Significance of Regression Coefficients C. [Example] SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 2. Testing Joint Significance of Regression Coefficients A. Test of the Overall Significance of the Estimated Multiple Regression B. [Hypothesis] SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 2. Testing Joint Significance of Regression Coefficients A. Test of the Overall Significance of the Estimated Multiple Regression B. [Hypothesis] H : β 1 = β 2 = … = β K = 0 or equivalently H : R 2 = 0 SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression SUNY at Albany  Department of Economics Eco 320 Economic Statistics • Regression 2. Testing Joint Significance of Regression Coefficients A. Test of the Overall Significance of the Estimated Multiple Regression B. [Hypothesis] H : β 1 = β 2 = … = β K = 0 or equivalently H : R 2...
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 Spring '11
 Chan
 Economics, Statistics, Department of Economics, SUNY, Albany, Economic Statistics

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