ECONOMETRICS

(ECN3311)

Dr John Musantu
Today’s Outline
Part 1: Hypothesis Testing: Fit Approach
Model Fit and Hypothesis Testing
Does Imposing Restrictions Lead to Loss of Fit?
F-Statistic using RSS
F-Distribution
F-Distribution
Testing Multiple Restrictions – Earnings Equation
Testing Procedure – Earnings Equation
Testing Procedure – Earnings Equation
Testing Procedure – t versus F-test
Part 2: Model Significance and Comparison
Model Significance
Model Comparison: R-squared
Model Comparison: Adjusted R-squared
Model Comparison: Alternative Measures
Model Comparison: Example of Wage Determination
Model Comparison: Example of Wage Determination
Summary
Critical Values for F-distribution