1) A researcher estimates an AR(1) with an intercept and finds that the OLS estimate of β1 is 0.95, with a standard error of 0.02. Does a 95% confidence interval include β1=1?
1) A researcher estimates an AR(1) with an intercept and finds that the OLS estimate of β1 is 0.95, with a standard error of 0.02. Does a 95% confidence interval include β1=1?
A.Yes, since the value of the t-statistic for the null hypothesis β1=1 is −2.50 and the 5% critical value of the augmented Dickey-Fuller statistic is −2.86, the null hypothesis is not rejected. Thus β1=1 is in the 95% confidence interval.
B.No, the interval, calculated as β1±1.96SEβ1, is from 0.91 to 0.99.
C.No, since the value of the t-statistic for the null hypothesis β1=1 at the 5% level is −2.50.
D.No, because the critical value of the augmented Dickey-Fuller statistic at the 5% significance level is −2.86.
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