Econometrics-I-9 计量经济分析（第六版英文）ppt教学文稿.pptVIP

Applied Econometrics William Greene Department of Economics Stern School of Business Applied Econometrics 9. Hypothesis Tests: Analytics and an Application General Linear Hypothesis Hypothesis Testing Analytical framework: y = X? + ? Hypothesis: R? - q = 0, J linear restrictions Procedures Classical procedures based on two algebraically equivalent frameworks Distance measure: Is Rb - q = m far from zero? (It cannot be identically zero.) Fit measure: Imposing R? - q on the regression must degrade the fit (ee or R2). Some deg