Section 7.1 Section 7.2 Section 7.5 Section 7.

Stock & Watson (2019), Chapter 7

Hypothesis Tests & Confidence Intervals
in Multiple Regression

Brittany Almquist Lewis

FIN 560A 470A

Research Methods in Finance

1/10
Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

Hypothesis Tests for a Single Coefficient

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Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

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3/10
Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

Application to Test Scores & the Student-Teacher Ratio

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Section 7.1 Section 7.2 Section 7.5 Section 7.6

Testing Hypotheses on Two or More Coefficients

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Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

The F -Statistic

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I Computing the p-value using the F -statistic

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6/10
Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

The F -Statistic

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Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

The Homosdedasticity-Only F -Statistic

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I F = SSRunrestricted /[n-(kunrestricted +1)]

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I Application to test scores & the student–teacher ratio

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Brittany Almquist Lewis
Chapter 7
Section 7.1 Section 7.2 Section 7.5 Section 7.6

Model Specification for Multiple Regression

I Model specification and choosing control variables

I Base specification
I Alternative specifications

I The R 2 and R̄ 2 do not tell you whether

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9/10
Brittany Almquist Lewis
Chapter 7
 Section 7.1 Section 7.2 Section 7.5 Section 7.6

Analysis of the Test Score Data Set

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10/10
Brittany Almquist Lewis
Chapter 7