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1 yes the stata command test allow us to test ho by

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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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This note was uploaded on 02/13/2014 for the course ECON 350 taught by Professor Donaldbrown during the Fall '10 term at Yale.

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