Econometrics HT 18

Chapter 15 : Inference in the linear regression model

By Lund University

Hypothesis testing and confidence intervals.

Inference in the linear regression model

This section is an introduction to inference in the linear regression model. We will begin by looking at hypothesis testing as a general idea in statistics followed by hypothesis testing in the linear regression model. We will look at the t-test, test if one of the unknown parameters is equal to some given value. Hypothesis testing is closely related to confidence intervals and we will look at confidence intervals for the beta parameters of the linear regression model.

Introduction to hypothesis testing

Hypothesis testing in the LRM: The t-test

Confidence intervals in the LRM

t-test by hand

t-test

One-sided t-test

t-test and confidence intervals

Confidence intervals and α