计量经济学ch04.ppt

Economics 20 - Prof. Anderson Testing hypothesis about the parameters in the population regression. 4.1 Sampling distributions of the OLS estimators 4.2 Testing hypotheses about a single population 4.3 Confidence Intervals 4.4 Testing a Linear Combination 4.5 Testing Multiple Linear Restrictions 4.6 Reporting regression results 4.1 Sampling distributions of the OLS estimators So far, we know that given the Gauss-Markov assumptions, OLS is BLUE, In order to do classical hypothesis testing, we need to add another assumption (beyond the Gauss-Markov assumptions) Assumptions of the Classical Linear Model (CLM) Assumption MLR.6 : u is independent of x1, x2,…, xk and u is normally distributed with zero mean and variance s2: u ~ Normal(0,s2) CLM Assumptions Under CLM, OLS is not only BLUE, but is the minimum variance unbiased estimator We can summarize the population assumptions of CLM as follows y|x ~ Normal(b0 + b1x1 +…+ bkxk, s2) While for now we just assume normality, clear that sometimes not the case Large samples will let us drop normality Normal Sampling Distributions 4.2 The t Test Knowing the sampling distribution for the standardized estimator allows us to carry out hypothesis tests Start with a null hypothesis For example, H0: bj=0 If accept null, then accept that xj has no effect on y, controlling for other x’s The t Test (cont) t Test: One-Sided Alternatives Besides our null, H0, we need an alternative hypothesis, H1, and a significance level H1 may be one-sided, or two-sided H1: bj 0 and H1: bj 0 are one-sided H1: bj ? 0 is a two-sided alternative If we want to have only a 5% probability of rejecting H0 if it is really true, then we say our significance level is 5% One-Sided Alternatives Having picked a significance level, a, we look up the (1 – a)th percentile in a t distribution with n – k – 1 df and call this c, the critical value We can reject the null hypothesis if the t statistic is greater than the critical value If t