Econometrics-I-9

Part 9 hypothesis testing 2 all | ordinary least

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Unformatted text preview: Part 9: Hypothesis Testing - 2 All +----------------------------------------------------+ | Ordinary least squares regression | | LHS=HHNINC Mean = .3520836 | | Standard deviation = .1769083 | | Number of observs. = 27326 | | Model size Parameters = 5 | | Degrees of freedom = 27321 | | Residuals Sum of squares = 752.4767 | All | Residuals Sum of squares = 379.8470 | Men | Residuals Sum of squares = 363.8789 | Women +----------------------------------------------------+ +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ |Constant| .04186*** .00704 5.949 .0000 | |AGE | .00030*** .919581D-04 3.209 .0013 43.5257| |EDUC | .01967*** .00045 44.180 .0000 11.3206| |MARRIED | .07947*** .00239 33.192 .0000 .75862| |WHITEC | .04819*** .00225 21.465 .0000 .29960| +--------+------------------------------------------------------------+ ˜˜™™ ™ 10/27 Part 9: Hypothesis Testing - 2 F Statistic for Chow Test--> Calc ; k = col(x) ; List; dfd = (tm + tf - 2*k) ; Chowtest = ((sall - sm - sf)/k) / ((sm+sf)/dfd) ; FCrit = Ftb(.95,k,dfd) $ DFD = 27316.000000 CHOWTEST = 64.281630 FCRIT = 2.214100 ˜˜™™ ™ 11/27 Part 9: Hypothesis Testing - 2 Use Dummy Variables ˜˜™™ ™ 12/27 Part 9: Hypothesis Testing - 2 Wald Test for Difference ˜˜™™ ™ 13/27 Part 9: Hypothesis Testing - 2 Specification Test: Normality of p Specification test for distribution p Standard tests: n Kolmogorov-Smirnov: compare empirical cdf of X to normal with same mean and variance n Bowman-Shenton: Compare third and fourth moments of X to normal, 0 (no skewness) and 34 (meso kurtosis) p Bera-Jarque – adapted Bowman/Shenton to linear regression residuals ˜˜™™ ™ 14/27 Part 9: Hypothesis Testing - 2 Testing for Normality ˜˜™™ ™ 15/27 2 1 1 3 2 4 2 3 4 Normality Test for Random Variable e ( ) ( ) s = , m , e = 0 for regression residuals ( / ) [( / ) 3] Chi-squared[2] = 6 20 n n j i i i i j e e e e n n m s m s = =-- =- + ∑ ∑ Part 9: Hypothesis Testing - 2 The Stochastic Frontier Model ui > 0, usually assumed to be |N[0,s ]| vi may take any value. A symmetric distribution, such as the normal distribution, is usually assumed for vi....
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Part 9 Hypothesis Testing 2 All | Ordinary least squares...

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