Econometrics, Econ 20 Professor Ethan Lewis

Formula Sheet and Tables

This formula sheet is for your reference on the exam. It also includes relevant statistical tables.
If you would like, I will check for any relevant notes you put on this sheet. If so, please put your
name on this sheet and turn it in with your exam.

Name (print): __________________________________________________________________

1. In a bivariate regression Yi = β0 + β1Xi + ui OLS estimates of coefficients are given by:

ˆ0  Y  ˆ1 X
ˆ1  Cov X i , Yi  Var  X i 

2. If the multivariate model Yi   0  1 X 1i   2 X 2i  ...   K X Ki  ui is estimated by OLS,

then the “jth” slope (where 0< jK) is given by

ˆ j  Covr ji , Yi  Var r ji 

Where rji are the residuals from an OLS regression of X ji on the rest of the X’s in the
regression. Put differently, ˆ is the slope from a bivariate regression of Y on r . This
j i ji

is also known as the Frisch-Waugh theorem.

3. If the multivariate model Yi   0  1 X 1i   2 X 2i  ...   K X Ki  ui is estimated by OLS,

then the standard error on the “jth” slope (where 0< jK) is given by:
 
se ˆ  s N  1 var x  1  R 2
j j  j 
…where s is the root MSE, N is the sample size, and R 2j is the R2 from an OLS regression
of xj on the rest of the X’s in the regression.

Formula Sheet/Tables Page 1 of 4 Quiz #2

Econometrics, Econ 20 Professor Ethan Lewis

4. The F-statistic for testing linear restrictions on coefficients is given by:

F  stat 
R2 2

 Rrestricted Q
1  R
unrestricted
2
unrestricted 
N  K  1

…where “Q” is the number restrictions, and “K” is the total #of X’s (that is, in the
unrestricted regression).

5. In a test of a single null hypothesis that a given j = 0, it is always the case that the
F-statistic for this test exactly equals the square of the corresponding t-statistic
(F-stat = t-stat2). This is also true of the relevant critical values.

6. If the true population model is given by Yi   0  1 X 1i   2 X 2i  controls  ui and you

~ ~
estimate Yi   0  1 X 1i  controls  u~i and X2 and X1 are linearly related by the
~
relationship X 2i   0   1 X 1i  controls  ei , then your OLS estimate of  1 will satisfy:

~ˆ
1  ˆ1  ˆ2ˆ1

…where coefficients with a “hat” are estimated by OLS.

Statistical tables (see following pages)

Formula Sheet/Tables Page 2 of 4 Quiz #2

Econometrics, Econ 20 Professor Ethan Lewis

Formula Sheet/Tables Page 3 of 4 Quiz #2

Econometrics, Econ 20 Professor Ethan Lewis

Critical Values of F-distn with large denom dof (say, >120 and >>demon dof).

Degrees of Freedom Significance Level

Denominator Numerator 1% 5% 10%
Large 1 6.637 3.842 2.706
Large 2 4.607 2.997 2.303
Large 3 3.784 2.606 2.084
Large 4 3.321 2.373 1.945
Large 5 3.019 2.215 1.848
Large 6 2.804 2.099 1.775
Large 7 2.641 2.011 1.717
Large 8 2.513 1.939 1.671
Large 9 2.409 1.881 1.632
Large 10 2.323 1.832 1.599
Large 11 2.249 1.790 1.571
Large 12 2.187 1.753 1.546
Large 13 2.132 1.721 1.525
Large 14 2.083 1.693 1.505
Large 15 2.040 1.667 1.488
Large 16 2.002 1.645 1.472
Large 17 1.967 1.624 1.458
Large 18 1.935 1.605 1.445
Large 19 1.907 1.588 1.432
Large 20 1.880 1.572 1.421
Large 30 1.697 1.459 1.342
Large 40 1.592 1.394 1.295
Large 50 1.523 1.350 1.263
Large 60 1.473 1.318 1.240
Large 70 1.435 1.293 1.222
Large 80 1.404 1.274 1.207
Large 90 1.379 1.257 1.195
Large 100 1.358 1.244 1.185
Large 110 1.340 1.232 1.176
Large 120 1.325 1.222 1.169
Large 130 1.311 1.213 1.162
Large 140 1.299 1.205 1.156
Large 150 1.288 1.197 1.151
Large 160 1.279 1.191 1.146
Large 170 1.270 1.185 1.141
Large 180 1.262 1.180 1.137
Large 190 1.254 1.175 1.134
Large 200 1.248 1.170 1.130
…
Large 1000 1.108 1.075 1.058

Formula Sheet/Tables Page 4 of 4 Quiz #2