Beruflich Dokumente
Kultur Dokumente
0
0
0.5
1.5
2.5
3.5
4.5
-1
-2
X
0
0
-2
-4
X
0
0
-1
X
0
0
0.5
1.5
2.5
3.5
-2
-4
X
SSR
( N 2 ) ( X X )2
i
10
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Data Set
Figure 5.1
Figure 5.2
Figure 5.3
Figure 5.4
.91
1.04
1.00
1.52
90%
Confid.
Interval
[-.92,2.75]
[.75,1.32]
[.99,1.01]
[-1.33,4.36]
95%
Confid.
Interval
[-1.57,3.39]
[.70,1.38]
[.99,1.02]
[-1.88,4.91]
99%
Confid.
Interval
[-3.64,5.47]
[.59,1.49]
[.98,1.03]
[-2.98,6.02]
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= .000842
95% Confidence interval: [.00061,.001075]
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Y = 34,136 + 6.59 X ,
We are 95% confident that the effect of lot size on house is at least $5.72 and
at most $7.47.
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Hypothesis Testing
Test whether =0 (i.e. whether X has any explanatory power)
One way of doing it: look at confidence interval, check whether it contains zero.
If no, then you are confident 0.
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Alternatively:
t-ratio is 7.227937. Is this big?
Yes, the P-value is 5.510-10 which is much less than .05.
Hence, we conclude again that 0.
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Jargon
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( N 2) R 2
F=
(1 R 2 )
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Chapter Summary
1. Accuracy of OLS estimates depends on number of data points, variability of the
explanatory variable and variability of the errors.
2. The confidence interval provides an interval in which you can be confident lies.
3. The width of the confidence interval depends on the same factors as affect the accuracy
of OLS estimates. In addition, the width of the confidence interval depends on the
confidence level.
4. A hypothesis test of whether =0 can be used to find out whether the explanatory
variable belongs in the regression. The P-value is a measure of how plausible the
hypothesis is.
5. If the P-value for the hypothesis test of whether =0 is less than .05 then you can reject
the hypothesis at the 5% level of significance.
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6. If the P-value for the hypothesis test of whether =0 is greater than .05 then you cannot
reject the hypothesis at the 5% level of significance.
7. A hypothesis test of whether R2=0 can be used to investigate whether the regression
helps explain the dependent variable.
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