F-test and R2

Problem

Consider the Crime data at http://www.oswego.edu/~kane/econometrics/data.htm . Run a regression with y = crime, x2 = pov, x3 = metro, x4 = popdens. Confirm that the \(F\) -value provided in the output is indeed equal to \( \frac{R^2/(k-1)}{\left( 1-R^2 \right)/(n-k)}\) .

Solution

We reject the null that all slope parameters are 0.