Econometrics exam question (fairly urgent!)

lopppy · 07-12-2010 09:32PM #1

Hey I've an econometrics exam tomorrow. There's a question thats says.. you are given following data on 15 observations and gives Ex2i squared value, Exiyi value etc..

I can estimate the intercept and slope coefficient and work through it until you get the t value (beta over S.E) but in the solution (question is for 95% C.I) its says..

T= 3.4974 therefore Beta 1 is significant (same situation with Beta 2 with 14 or something)

Anyway how do you decide if its significant, is it if its not between -1.96 and + 1.96 because of the 95% C.I?

Another similar question, in ramseys RESET I found the F m;n,k value which was 4, and I know that if this is greater than the critical F value the model is misspecified, but how do I find the F value on the tables such as this (95% again)..

http://home.comcast.net/~sharov/PopEcol/tables/f005.html

Theres six parameters in the unrestricted and 3 in the restriced model so is it 3,6 or something?

Sorry if that was a bit long winded!

Thanks

Économiste Monétaire · 07-12-2010 10:02PM

The t-statistic is significant at the 1% level. The t = 3.4974 is from testing if [latex] \displaystyle \beta_{1} = 0 [/latex], i.e.,

[latex] \displaystyle \frac{\beta_{1} - 0}{se(\beta_{1})} = 3.4974 [/latex]

Look this t-stat up in your tables, with df = 12.

For the second question, can you give the values for k, m, and n?

lopppy · 07-12-2010 10:27PM

Little confused over using the tables, do i go to 12 on the df and .1 then on the top line, getting 1.782. So is it because the 4.5 t value is greater than this 1.782 that its significant?

M N K are 3, 44, 6 respectively. Dont need the answer to that question specifically, just how do look up the F value?

Économiste Monétaire · 07-12-2010 10:36PM

.1 means 10% significance level. If that's your cut-off, then, yes, it is significant. Move over to the 0.05 part, and you'll see 2.179, which is less than 3.4974, so it's also significant at the 5% level.

For the F value, the row of red numbers at the top of your link is the first part in [latex]\displaystyle F_{m,(n-k)} [/latex], which is 3, and the vertical list of red numbers is for second part, n-k, which is 38. The critical value is therefore between 2.84 and 2.87, at the 5% significance level.

lopppy · 07-12-2010 11:33PM

Économiste Monétaire wrote: »

.1 means 10% significance level.

You mean 90%?

Thanks though you saved me staying up half the night!

Économiste Monétaire · 07-12-2010 11:57PM

Most people just say 10%/5%/1% significance level referring to P>|t|. Best of luck with the test.

Econometrics exam question (fairly urgent!)

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