Unformatted text preview: t a single population
parameter. Melissa Tartari (Yale) Econometrics 34 / 41 Testing General Hypothesis: Consider a case in which K = 3 i.e.
y = βo + β1 x1 + β2 x2 + β3 x3 + u
We now know how to test hypothesis about a single population
parameter.
QUESTIONS: Melissa Tartari (Yale) Econometrics 34 / 41 Testing General Hypothesis: Consider a case in which K = 3 i.e.
y = βo + β1 x1 + β2 x2 + β3 x3 + u
We now know how to test hypothesis about a single population
parameter.
QUESTIONS:
Q.1 Can we test a single linear combination of the parameters e.g.
Ho : β1 = c β2 (c is some number of choice)? Melissa Tartari (Yale) Econometrics 34 / 41 Testing General Hypothesis: Consider a case in which K = 3 i.e.
y = βo + β1 x1 + β2 x2 + β3 x3 + u
We now know how to test hypothesis about a single population
parameter.
QUESTIONS:
Q.1 Can we test a single linear combination of the parameters e.g.
Ho : β1 = c β2 (c is some number of choice)?
Q.2 Can we test multiple linear restrictions (joint linear hypothesis)
e.g.Ho : β1 = c β2 and β3 = 1? Melissa Tartari (Yale) Econometrics 34 / 41 Testing General Hypothesis: in STATA Answer to Q.1: YES. The STATA command test allow us to test Ho
by doing the following: Melissa Tartari (Yale) Econometrics 35 / 41 Testing General Hypothesis: in STATA Answer to Q.1: YES. The STATA command test allow us to test Ho
by doing the following:
1 run the regression of interest: regress y x1 x2 x3 Melissa Tartari (Yale) Econometrics 35 / 41 Testing General Hypothesis: in STATA Answer to Q.1: YES. The STATA command test allow us to test Ho
by doing the following:
1
2 run the regression of interest: regress y x1 x2 x3
type test x1 +cx2 = 0 (or test x1 =cx2 ) Melissa Tartari (Yale) Econometrics 35 / 41 Testing General Hypothesis: in STATA Answer to Q.1: YES. The STATA command test allow us to test Ho
by doing the following:
1
2 run the regression of interest: regress y x1 x2 x3
type test x1 +cx2 = 0 (or test x1 =cx2 ) Answer to Q.2: YES. The STATA command test allow us to test Ho
by doing the following: Melissa Tartari (Yale) Econometrics 35 / 41 Testing General Hypothesis: in STATA Answer to Q.1: YES. The STATA command test allow us to test Ho
by doing the following:
1
2 run the regression of interest: regress y x1 x2 x3
type test x1 +cx2 = 0 (or test x1 =cx2 ) Answer to Q.2: YES. The STATA command test allow us to test Ho
by doing the following:
1 run the regression of interest: regress y x1 x2 x3 Melissa Tartari (Yale) Econometrics 35 / 41 Testing General Hypothesis: in STATA Answer to Q.1: YES. The STATA command test allow us to test Ho
by doing the following:
1
2 run the regression of interest: regress y x1 x2 x3
type test x1 +cx2 = 0 (or test x1 =cx2 ) Answer to Q.2: YES. The STATA command test allow us to test Ho
by doing the following:
1
2 run the regression of interest: regress y x1 x2 x3
type the following lines of code:
test x1 +cx2 =0,notest
test x3 =1,accumulate Melissa Tartari (Yale) Econometrics 35 / 41 Testing General Hypothesis: Remarks I
STATA command test tests any kind of linear hypothesis about the
parameters from the most recently estimated model using a Wald test
that has an F distribution with numerator degrees of freedom equal
to the number of restrictions in Ho and with denominator degrees of
freedom equal to n K 1. Melissa Tartari (Yale) Econometrics 36 / 41 Testing General Hypothesis: Remarks I
STATA command test tests any kind of linear hypothesis about the
parameters from the most recently estimated model using a Wald test
that has an F distribution with numerator degrees of freedom equal
to the number of restrictions in Ho and with denominator degrees of
freedom equal to n K 1.
The F test is often used for testing exclusion of a group of vars when
the vars in the group are highly correlated. Melissa Tartari (Yale) Econometrics 36 / 41 Testing General Hypothesis: Remarks I
STATA command test tests any kind of linear hypothesis about the
parameters from the most recently estimated model using a Wald test
that has an F distribution with numerator degrees of freedom equal
to the number of restrictions in Ho and with denominator degrees of
freedom equal to n K 1.
The F test is often used for testing exclusion of a group of vars when
the vars in the group are highly correlated.
The hypothesis Ho : βj = 0 is called an exclusion restriction: we test
whether the particular variable xj has no partial e¤ect on the dVar y . Melissa Tartari (Yale) Econometrics 36 / 41 Testing General Hypothesis: Remarks I
STATA command test tests any kind of linear hypothesis about the
parameters from the most recently estimated model using a Wald test
that has an F distribution with numerator degrees of freedom equal
to the number of restrictions in Ho and with denominator degrees of
freedom equal to n K 1.
The F test is often used for testing exclusion of a group of vars when
the vars in the group are highly correlated.
The hypothesis Ho : βj = 0 is called an exclusion restriction: we test
whether the particular vari...
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 Fall '10
 DonaldBrown
 Econometrics, Normal Distribution, Yale, Jx, Melissa Tartari

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