计量经济学（北京大学，陈东）04_inference.pdfVIP

Topic 4: Inferences in Classical Linear Models Advanced Econometrics (I) Dong Chen School of Economics, Peking University 1 Introduction A classical problem in statistical inference is that we have some hypothesis about the population parameters and we want to know if the sample data are consistent with this hypothesis. To answer questions like this, we go through a testing procedure. Definition 1: [Statistical Test] A statistical test of a hypothesis is a rule that assigns each possible sample outcome to one of two exclusive categories. Th