Scribd
Upload
10 views13 pages

8 Multiple Regression Inference

The document discusses multiple regression analysis, focusing on hypothesis testing for individual partial regression coefficients and overall model significance. It details the use of t and F distributions for testing hypotheses, constructing confidence intervals, and analyzing variance components. Additionally, it covers the relationship between R² and F statistics in assessing model significance.

Uploaded by

montahinamontaha
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
10 views13 pages

8 Multiple Regression Inference

The document discusses multiple regression analysis, focusing on hypothesis testing for individual partial regression coefficients and overall model significance. It details the use of t and F distributions for testing hypotheses, constructing confidence intervals, and analyzing variance components. Additionally, it covers the relationship between R² and F statistics in assessing model significance.

Uploaded by

montahinamontaha
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 13

6/7/2024

Multiple Regression Analysis - Inference

Gujarati (4th edition) – Chapter 8

Multiple Regression Analysis – Hypothesis testing


• The general form of the multiple regression model
• Yi = β1 + β2X2i + β3X3i + …………….. + βkXki + µi
• A multiple regression model with two explanatory variables
• Yi = β1 + β2X2i + β3X3i + µi
• The estimated equation is (by OLS)

• To test the hypothesis about the population parameters we assume µi is


normally distributed with zero mean and fixed variance, σ2.
• This ensures the estimators (𝛽 , 𝛽 , and 𝛽 ) are normally distributed with
their respective means and variances.

1
6/7/2024

Multiple Regression Analysis – Hypothesis testing


• The following variables follow the t distributions with (n-3) df.

• The t distribution can be used to construct confidence intervals as well as test


statistical hypotheses. CI for β2
• 𝛽 −𝑡 / se(𝛽 ) ≤ β2 ≤ 𝛽 + 𝑡 / se(𝛽 )

Multiple Regression Analysis – Hypothesis testing


• Hypothesis testing in multiple regression:
• Testing hypotheses about an individual partial regression coefficient
• Testing the overall significance of the estimated multiple regression model,
• that is, finding out if all the partial slope coefficients are simultaneously equal to zero
• Testing that two or more coefficients are equal to one another
• Testing that the partial regression coefficients satisfy certain restrictions
• Testing the stability of the estimated regression model over time or in different cross-
sectional units
• Testing the functional form of regression models
•

2
6/7/2024

8.2 EXAMPLE 8.1: CHILD MORTALITY EXAMPLE REVISITED

Multiple Regression Analysis – Hypothesis testing


• Hypothesis testing about individual partial regression coefficients
• With the assumption that the error term is normally distributed, we can use t-test to
test a hypothesis about any individual partial regression coefficient.
• H0: β2 = 0
• H1: β2 ≠ 0
• If the absolute value of tcalculated > tcritical at the chosen level of significance, we
may reject the null hypothesis; otherwise, we may not reject it.
• We can also do a one-tail test.
• Since a priori Child mortality and PGNP are negatively related:
• H0: β2 < 0 (A right tail test)
• H1: β2 ≥ 0 (if tcal>tcritical, reject the null).

3
6/7/2024

8.4 Hypothesis testing about individual regression coefficients

8.5 Testing the overall significance of the sample regression

4
6/7/2024

Testing the overall significance of the sample regression

5.9 Regression analysis and analysis of variance (ANOVA)


• TSS = ESS + RSS
• TSS = Total sum of squares
• ESS = Explained (or regression) sum of squares
• RSS = Residual (or error) sum of squares

• A study of these components of TSS is known as the analysis of variance


(ANOVA) from the regression viewpoint.

5
6/7/2024

ANOVA Table: A General K-1 variable case

Sources of variation SS df MSS


Due to regression ESS (=∑ 𝑦 ) K-1 ESS/(K-1)
Due to residuals RSS ( = ∑ 𝜇̂ ) n-K RSS/(n – K)
Total TSS ( = ∑ 𝒚𝟐𝒊 ) n-1
Here, SS means sum of squares, df is degrees of freedom, and MSS is Mean
sum of squares. K is the number of parameters to be estimated and n is the
sample size

The Analysis of Variance Approach to Testing the Overall Significance three variable
Regression: The F Test

6
6/7/2024

The Analysis of Variance Approach to Testing the Overall Significance three variable Regression:
The F Test

The Analysis of Variance Approach to Testing the Overall Significance


three variable Regression: The F Test

7
6/7/2024

5.9 Regression analysis and analysis of variance – two variable case

5.9 Regression analysis and analysis of variance

8
6/7/2024

Testing overall significance – General F-test

• The general form of the multiple regression model


Yi = β1 + β2X2i + β3X3i + …………….. + βkXki + µi (8.5.9)
• Testing overall significance
• H0: β2 = β2 = …….. = βk = 0 (all slope coefficients are simultaneously zero)
• Ha = Not all slope coefficient are simultaneously zero
• The test statistics follow a F distribution as follows with (K-1) df in the numerator
and (n-k) df in the denominator.
( )
If Fcalculated is greater than Fcritical at a given significance
• 𝐹= level, then the Null hypothesis is rejected at that
( ) significance level

Testing the Overall Significance of a Multiple Regression: The F Test

9
6/7/2024

An Important Relationship between R2 and F

where use is made of the definition R2 =


ESS/TSS. The equation on the left
shows how F and R2 are related. These
two vary directly. When R2 = 0, F is zero
ipso facto. The larger the R2, the greater
the F value. In the limit, when R2 = 1, F
is infinite. Thus the F test, which is a
measure of the overall significance of
the estimated regression, is also a test
of significance of R2. In other words,
testing the null hypothesis (8.5.9) is
equivalent to testing the null hypothesis
that (the population) R2 is zero.

8.6 Testing The Equality of Two Regression Coefficients

10
6/7/2024

8.6 Testing The Equality Of Two Regression Coefficients (cont.)

8.6 Testing The Equality of Two Regression Coefficients (cont.)

11
6/7/2024

8.6 Testing The Equality Of Two Regression Coefficients

8.7 Restricted Least Squares: Testing Linear Equality Restrictions

12
6/7/2024

8.7 Restricted Least Squares: Testing Linear Equality Restrictions

8.7 Restricted Least Squares: Testing Linear Equality Restrictions (cont.)

13

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy