Consider the regression model Y = B0 + B1 X1 + B2 X2 + u. Suppose you want to test the null hypothesis H0: B1 + B2 = 0, versus the alternative hypothesis H1: B1+ B2 != 0 (!= means "not equal to"). The...

Consider the regression model Y = B0 + B1 X1 + B2 X2 + u. Suppose you want to

test the null hypothesis H0: B1 + B2 = 0, versus the alternative hypothesis H1: B1+

B2 != 0 (!= means "not equal to"). The data set consists of 100 observations.

(a) Suppose we use an F-statistic to conduct the test. What are the degrees of

freedom associated with this test statistic?

(b) Let G(.) be the CDF of the F-distribution for the F-statistic in part (b). Denote

the actual F-statistic by F_act. Suppose someone says that you should reject the null

at the 5% significance level if G(F_act)<0.05. explain="" whether="" you="" agree="" with="">

approach.

very different p-values. Do you think this result is correct? Briefly explain your

reasoning.

Jun 09, 2022

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