[经济学]计量经济学基础第3章课件.ppt

Chapter 3 Interval Estimation and Hypothesis Testing Walter R. Paczkowski Rutgers University 3.1 Interval Estimation 3.2 Hypothesis Tests 3.3 Rejection Regions for Specific Alternatives 3.4 Examples of Hypothesis Tests 3.5 The p-value 3.6 Linear Combinations of Parameters Chapter Contents 3.1 Interval Estimation There are two types of estimates Point estimates The estimate b2 is a point estimate of the unknown population parameter in the regression model. Interval estimates Interval estimation proposes a range of values in which the true parameter is likely to fall Providing a range of values gives a sense of what the parameter value might be, and the precision with which we have estimated it Such intervals are often called confidence intervals. We prefer to call them interval estimates because the term ‘‘confidence’’ is widely misunderstood and misused 3.1 Interval Estimation The normal distribution of b2, the least squares estimator of β2, is A standardized normal random variable is obtained from b2 by subtracting its mean and dividing by its standard deviation: 3.1.1 The t-Distribution Eq. 3.1 3.1 Interval Estimation We know that: Substituting: Rearranging: 3.1 Interval Estimation 3.1.1 The t-Distribution The two end-points provide an interval estimator. In repeated sampling 95% of the intervals constructed this way will contain the true value of the parameter β2. This easy derivation of an interval estimator is based on the assumption SR6 and that we know the variance of the error term σ2. 3.1 Interval Estimation 3.1.1 The t-Distribution Replacing σ2 with creates a random variable t: The ratio has a t-distribution with (N – 2) degrees of freedom, which we denote as: Eq. 3.2 3.1 Interval Estimation 3.1.1 The t-Distribution In general we can say, if assumptions SR1-SR6 hold in the simple linear regression model, then The t-distribution is a bell shaped curve centered at zero It looks like the st