计量经济学基础(6章课件).pptxVIP

Chapter 6 Further Inference in the Multiple Regression Model Walter R. Paczkowski Rutgers University 6.1 Joint Hypothesis Testing 6.2 The Use of Nonsample Information 6.3 Model Specification 6.4 Poor Data, Collinearity, and Insignificance 6.5 Prediction Chapter Contents Economists develop and evaluate theories about economic behavior Hypothesis testing procedures are used to test these theories The theories that economists develop sometimes provide nonsample information that can be used along with the information in a sample of data to estimate the parameters of a regression model A procedure that combines these two types of information is called restricted least squares 6.1 Joint Hypothesis Testing A null hypothesis with multiple conjectures, expressed with more than one equal sign, is called a joint hypothesis Example: Should a group of explanatory variables should be included in a particular model? Example: Does the quantity demanded of a product depend on the prices of substitute goods, or only on its own price? 6.1 Joint Hypothesis Testing 6.1 Testing Joint Hypotheses Both examples are of the form: The joint null hypothesis in Eq. 6.1 contains three conjectures (three equal signs): β4 = 0, β5 = 0, and β6 = 0 A test of H0 is a joint test for whether all three conjectures hold simultaneously Eq. 6.1 6.1 Joint Hypothesis Testing 6.1 Testing Joint Hypotheses Consider the model: Test whether or not advertising has an effect on sales – but advertising is in the model as two variables 6.1.1 Testing the Effect of Advertising: The F-Test Eq. 6.2 6.1 Joint Hypothesis Testing Advertising will have no effect on sales if β3 = 0 and β4 = 0 Advertising will have an effect if β3 ≠ 0 or β4 ≠ 0 or if both β3 and β4 are nonzero The null hypotheses are: 6.1 Joint Hypothesis Testing 6.1.1 Testing the Effect of Advertising: The F-Test Relative to the null hypothesis H0 : β3 = 0, β4 = 0 the model in Eq. 6.2 is called the unrestricted model The restrictions in the null hypothesis