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Chapter+7 - Instruc ctor H.H Kim 1 Econo ometrics Outline e...

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Instruc Outline - H - J - O - H The Sa - U - T - ܸ - O v - C Hypoth - S - H ctor : H.H. e Hypothesi Joint hypo Other type How to de mpling Di Under the The samp ܸܽݎሺβ is Other tha very comp o β i o ି ට௏௔௥ o The Conceptu hesis Tests Standard Hypothesi Kim is tests and othesis tes es of hypo ecide wha istribution e four Leas ling distrib inversely an its mea plicated; is consiste ିఉ ௥ሺஒ is app se statem ually, there s and Con Errors for t is Tests for d confide sts on mult otheses in at variable of the OLS st Squares bution of β proportio n and va but for lar nt: β → ߚ proximate ments hold e is nothin fidence In the OLS Es a Single C 1 ence interv tiple coeff volving m es to inclu S Estimato s Assumpti has me nal to n. riance, th rge n ߚ (law of ely distribu for β , … , ng new he ntervals fo stimators Coefficien vals for a s ficients multiple co ude in a re or (Section ions, ean β he exact ( large num ted N(0,1) β ere! or a Single nt single coe efficients egression m n 6.6) (finite-n) d mbers) ) (CLT) e Coefficie Econo efficient model? distribution ent ometrics n of β is
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Fall 2011 Rutgers University 2 - Confidence Intervals for a Single Coefficient Tests of Joint Hypothesis - Testing Hypothesis on Two or More coefficients - Why not t-statistics? - The F-statistic
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Instructor : H.H. Kim Econometrics 3 - Overall F-test - The homoskedasticity-Only F-statistic Exercise 1 AHE = average hourly earnings College = binary (1 if college, 0 if HS) Female = binary (1 if female) Age = age (in years) Ntheast = binary (1 if Region = Northwest, 0 o/w) Midwest = binary (1 if Region = Midwest, 0 o/w) South = binary (1 if Region = South, 0 o/w)
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