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Hypothesis Testing
Overview

Very often, economic theory that motivated the regression equation
also specifies the values that the regression coefficients should take.

Assumption 1.5

2 features following from
Assumption 1.5

Testing Hypotheses about Individual Regression Coefficients
Terminology

Significance Level

Testing Hypotheses about Individual Regression Coefficients

Testing Hypotheses about Individual Regression Coefficients
Supposing σ2 is known

Testing Hypotheses about Individual Regression Coefficients
σ2 is unknown (typically the case)

t-test
Degrees of freedom: n-K (sample size minus number of estimated parameters)

Confidence Interval

Confidence Interval
Interpretation

p-value

Linear Hypotheses

F-ratio

F-test
Intuition

F-test

Convenient F-test Alternatives

t vs F

Chow Test
Overview

Chow Test
Procedure
