The researcher runs an OLS regression with five regressors and a constant on a sample of 453 observations. The value of R² for this regression is 0.4871. Subsequently she imposes two restrictions on the coefficients and runs a corresponding restricted regression. The value of R² is now 0.4703. Assuming that errors are homoskedastic, compute the F statistic for the test of joint validity of the two restrictions. Is the null hypothesis rejected? Based on your conclusion, are the two restrictions jointly valid?

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter1: Functions
Section1.2: The Least Square Line
Problem 8E
icon
Related questions
Question
The researcher runs an OLS regression with five regressors and a constant
on a sample of 453 observations. The value of R² for this regression is
0.4871. Subsequently she imposes two restrictions on the coefficients
and runs a corresponding restricted regression. The value of R² is
now 0.4703. Assuming that errors are homoskedastic, compute the F
statistic for the test of joint validity of the two restrictions. Is the null
hypothesis rejected? Based on your conclusion, are the two restrictions
jointly valid?
Transcribed Image Text:The researcher runs an OLS regression with five regressors and a constant on a sample of 453 observations. The value of R² for this regression is 0.4871. Subsequently she imposes two restrictions on the coefficients and runs a corresponding restricted regression. The value of R² is now 0.4703. Assuming that errors are homoskedastic, compute the F statistic for the test of joint validity of the two restrictions. Is the null hypothesis rejected? Based on your conclusion, are the two restrictions jointly valid?
Expert Solution
steps

Step by step

Solved in 3 steps with 2 images

Blurred answer
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
Calculus For The Life Sciences
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,