A Guide to Modern Econometrics 2nd Ed Marno Verbeek 习题答案.pdf

A Guide to Modern Econometrics / 2ed Answers to selected exercises - Chapter 2 Exercise 2.1 a. See 9. b. Assumption (A1) and (A2), see page 17. c. See page 25. We also require assumptions (A3) and (A4) to make the con- Ödence interval approximately valid. We need (A3)-(A4) to make sure that se(b ) is the correct standard error. In small samples, the conÖdence 2 interval is exactly valid if (A5), normality of the error terms, is imposed too. d. The hypothesis that 3 = 1 can be tested by means of a t-test. The test statistic is b3 1 ; t = se(b ) 3 which ñunder the null hypothesis ñhas an approximate standard normal distribution (assumptions (A1)-(A4)). At the 95% conÖdence level, we reject the null of jt j 1:96: e. The hypothesis that 2 + 3 = 0 can also be tested by means of a t-test. The test statistic is b2 + b3 t = : se(b + b ) 2 3 See page 26 for an explanation on how to obtain the standard error. f. The joint hypothesis that 2 = 3 = 0 can be tested by means of an F - test. The test statistic is most easily obtained from the R2 and we use (2.61). We compare the test statistic with the critical values from an F distribution with 2 (the number of