Econometrics HT 18

Chapter 17 : Inference in the linear regression model with several explanatory variables

By Lund University

Hypothesis testing and confidence intervals.

Inference in the linear regression model with several explanatory variables

We begin by looking at the t-test which we use to test a single restriction. In a linear regression model with several explanatory variables it is common to consider hypotheses involving several restrictions. Such hypotheses can be tested using an F test. Finally we look at confidence intervals when we have many explanatory variables.

Hypothesis testing, one restriction – the t-test

Hypothesis testing, several restrictions – the F-test

Confidence intervals in the LRM

t-test

t-test beta2=100

t-tests

Regression towards the mean

F-test and R2

F-test

Confidence intervals