Questions tagged [hypothesis-testing]

In statistics, hypothesis testing assesses whether data are inconsistent with a given hypothesis.

Filter by
Sorted by
Tagged with
7 votes
1 answer
75 views

Portion of Derivation of F-test

In Greene's Econometric Analysis there is a derivation regarding the F stat. The setup is a null hypothesis of the form: $H_0: R\beta =q$ where $\beta$ is a $k\times 1$ vector of parameters, $R$ is a ...
Michael Gmeiner's user avatar
1 vote
0 answers
26 views

Testing asset pricing models with Roll's critique in mind

Roll's critique (Roll, 1977) can be summarized as follows (quoting Wikipedia): Mean-variance tautology: Any mean-variance efficient portfolio $R_{p}$ satisfies the CAPM equation exactly: $$ E(R_{i})-...
Richard Hardy's user avatar
3 votes
0 answers
39 views

Do t-stats created with robust standard errors follow a t-distribution in finite samples?

I am creating econometrics notes and proved that, with normally distributed errors, homoskedasticity, and no serial correlation, t-stats based on baseline OLS standard errors do in fact follow a t-...
Michael Gmeiner's user avatar
0 votes
0 answers
49 views

Construction of F-Test

While constructing the F-test with matrix notation, For the Unrestricted model, we have: $$ y=X_{1}\cdot b_{1}+X_{2}\cdot b_{2}+e $$ For the Restricted model; $$ y=\widehat{X}_{1}.b_{1}+e_{R} $$ ...
Tatanik501's user avatar
1 vote
1 answer
325 views

Why is N*R^2 called an "LM test"?

After OLS, one can test the null hypothesis that all coefficients are 0 by calculating $N\cdot R^2$, which is distributed $\chi^2_{k}$ where $k$ is the number of $\beta$ (excluding the constant). I ...
Michael Gmeiner's user avatar
0 votes
1 answer
274 views

Interpreting an ADF test in R

Although being a mathematician, I am fairly new to time series and R. On an assignment I was being asked to check a time series for stationarity in R, only using the $\texttt{adf.test}$ function that ...
Hyperbolic PDE friend's user avatar
0 votes
1 answer
68 views

Econometrics - Need help interpreting results

My absolute t-value is greater than t-critical value. This means that I can reject my null hypothesis which was that $\beta_1\leq 0$. Therefore, $\beta_1\gt 0$ and my alternative hypothesis is correct....
Rumi's user avatar
  • 977
2 votes
1 answer
2k views

How does one do a hypothesis test for elasticity?

Given the regression output $$\widehat{\ln cons} = \underset{(0.6018)}{0.4054} + \underset{(0.0744)}{1.2739}\, \ln m - \underset{(0.1902)}{0.6666}\, \ln p_1 -\underset{(0.2645)}{1.6146}\, \ln p_2$$ ...
ahorn's user avatar
  • 1,220