Flashcards
ETC2410: Week 5
Cards in this deck (14)
- 1CLM 6th assumption- Hypothesis testing requires a 6th assumption of normality
- Conditional on X, the population errors are i.i.d with N ~ (0, σ2) - 2Distribution under CLM assumptions
- 3t-distribution- Uses sigma-hat instead of sigma (which is unknown)
- Bell-shaped but more spread out
- Gets closer to N(0,1) as df increases - 4t-statistic
- 5Significance level- Probability that we wrongly reject the null when it is true (Type I error)
- When we reject the null, we say that xj is statistically significant at the α% level - 6Statistical vs economic significance- Statistical significance of a variable xj is determined entirely by the size of t-statistic - Economic/practical significance is related to the size (and sign) of β̂j
- 7Confidence intervals
- 8p-value- Value that for all significance levels less than that value the null would not be rejected, and for all significance levels bigger than that, the null would be rejected
- Compute t-statistic under the null, then find its equivalent percentile in the t-distribution
- For one-sided tests, divide the two-sided p-value by 2 - 9F-test for multiple restrictionsEstimate 2 equations (restricted and unrestricted model) and see how their squared residuals differ
- 10F-statistic formula using SSRF-stat is always positive because SSRr > SSRur
- 11F-statistic formula using R^2
- 12F-test for overall significance of the model
- 13F-test for a single restriction involving multiple parameters- Can test whether a single linear combination of β is equal to a constant
- However, cannot use F-test for one-sided alternatives, so need to reformulate and use t-test
- 14Reparameterisation
Information
- Description
- Business/Economics (ETC2410: Introductory Econometrics) Flashcards on ETC2410: Week 5, created by Melina Mackey on 28/09/2018.
- Created by
- Melina Mackey · Sep 2018
- Updated
- Oct 3, 2018
- Views
- 0
- History
-
- Created by Melina Mackey · Aug 19, 2018
- Copied by Melina Mackey · Sep 28, 2018
- Rating