Lecture6_Part2

Lecture6_Part2 - SUNY at Albany - Department of Economics...

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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 : k = 0 vs. H 1 : k 0 (whether 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 : k = 0 vs. H 1 : k 0 (whether k is significantly different from zero) Under H , Decision rule: , critical value, and p-value of the calculated t statistic. ) ,..., 2 , 1 , ( ~ ) ( ) 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 : 1 = 2 = = 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 : 1 = 2 = = K = 0 or equivalently H : R 2...
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This note was uploaded on 02/08/2012 for the course ECON 320 taught by Professor Chan during the Spring '11 term at SUNY Albany.

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Lecture6_Part2 - SUNY at Albany - Department of Economics...

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