Consider the linear regression model y = XBo + u = where y is T x 1, X is Tx k matrix of constants that are fixed in repeated samples with rank(X) k, Bo is the k x 1 parameter vector, and u~ N(0, IT) where o is an unknown positive constant. Let 3 and 62 denote the OLS estimators of Bo and of respectively. Suppose it is desired to test Ho: R30 = r against HARBO #r, where R and r are respectively a q x k matrix and a q x 1 vector of constants and rank(R) = q. Under Ho, it can be shown that F~ FT-k where (RBT r)[R(X'X)-\R]-1(R®. r) qô7 and FT-k denotes the F distribution with (q, T - k) degrees of freedom. F = - Based on this result a researcher adopts the following decision rule: Reject Ho: Ro = r at the 100a% significance level if: F > Fq,T-k(1- a) where FT-k(1a) is the 100(1- a)th percentile of the Fa,T-k distribution. (a) What would constitute a Type I error in the context of this test? (b) What is the probability of a Type I error associated with this decision rule? (c) Define mathematically the p-value of the test described above. (d) Let k = 5 and 3o, denote the ith element of o. Suppose it is desired to test Ho 0,3 + 30,5 = 2, 30,4 4. Express this null hypothesis in the form Rßor, being sure to define R and r. =
Consider the linear regression model y = XBo + u = where y is T x 1, X is Tx k matrix of constants that are fixed in repeated samples with rank(X) k, Bo is the k x 1 parameter vector, and u~ N(0, IT) where o is an unknown positive constant. Let 3 and 62 denote the OLS estimators of Bo and of respectively. Suppose it is desired to test Ho: R30 = r against HARBO #r, where R and r are respectively a q x k matrix and a q x 1 vector of constants and rank(R) = q. Under Ho, it can be shown that F~ FT-k where (RBT r)[R(X'X)-\R]-1(R®. r) qô7 and FT-k denotes the F distribution with (q, T - k) degrees of freedom. F = - Based on this result a researcher adopts the following decision rule: Reject Ho: Ro = r at the 100a% significance level if: F > Fq,T-k(1- a) where FT-k(1a) is the 100(1- a)th percentile of the Fa,T-k distribution. (a) What would constitute a Type I error in the context of this test? (b) What is the probability of a Type I error associated with this decision rule? (c) Define mathematically the p-value of the test described above. (d) Let k = 5 and 3o, denote the ith element of o. Suppose it is desired to test Ho 0,3 + 30,5 = 2, 30,4 4. Express this null hypothesis in the form Rßor, being sure to define R and r. =
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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