Suppose that you are interested in testing a joint null hypothesis consisting of three restrictions, say ß1 = B2 = B3 = 0 in multiple regression. Assume that you have three individual t-statistics for ß¡ = 0, where j = 1,2,3. Consider the following testing procedure: reject the joint null hypothesis if at least one of t-statistics exceeds 1.96 in absolute value. If t-statistics are independent of each other, what is the probability of rejecting the joint null hypothesis when it is true?

MATLAB: An Introduction with Applications
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Author:Amos Gilat
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Suppose that you are interested in testing a joint null hypothesis consisting of three restrictions, say \( \beta_1 = \beta_2 = \beta_3 = 0 \) in multiple regression. Assume that you have three individual t-statistics for \( \beta_j = 0 \), where \( j = 1, 2, 3 \). Consider the following testing procedure: reject the joint null hypothesis if at least one of t-statistics exceeds 1.96 in absolute value. If t-statistics are independent of each other, what is the probability of rejecting the joint null hypothesis when it is true?
Transcribed Image Text:Suppose that you are interested in testing a joint null hypothesis consisting of three restrictions, say \( \beta_1 = \beta_2 = \beta_3 = 0 \) in multiple regression. Assume that you have three individual t-statistics for \( \beta_j = 0 \), where \( j = 1, 2, 3 \). Consider the following testing procedure: reject the joint null hypothesis if at least one of t-statistics exceeds 1.96 in absolute value. If t-statistics are independent of each other, what is the probability of rejecting the joint null hypothesis when it is true?
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