人民大学高级计量经济学讲义5.ppt

Econometric Theory Lecturer: Dr.Jingtao Yi Room 715 Business School, RUC Lecture 5: k-Variable Linear Regression III 1. Testing Linear Hypotheses about Parameters; 2. Restricted and Unrestricted Regressions. Hypothesis Test Null Hypothesis against Alternative Hypothesis Test The Crime Case Null: The accused is innocent Alternative: He is guilty Principle: control type I error and minimize type II error. Testing Linear Hypotheses about Parameters The general linear framework Testing Linear Hypotheses about Parameters Testing Procedure Testing Linear Hypotheses about Parameters Testing Procedure Testing Linear Hypotheses about Parameters Testing Procedure Restricted and Unrestricted Regressions The linear restriction test Restricted and Unrestricted Regressions The linear restriction test Partition the regression equation Restricted and Unrestricted Regressions The linear restriction test Restricted and Unrestricted Regressions The linear restriction test Restricted and Unrestricted Regressions Fitting the Restricted Regression Restricted and Unrestricted Regressions Testing Restrictions 1. Compute the RSS from the restricted regression; 2. Compute the RSS from the unrestricted regression. 3. Compare both to compute the F-stat. * 1-β Type II Error β Null is false Type I Error α 1-α Null is true Reject Null Accept Null Decision State of World *