06 Hyp testing

You are estimating a bivariate regression model with y on lhs, and x on rhs. There are 100 observations in your sample. What is the formula for the standard error of the coefficient before x?

In the true DGP there are two variables on the rhs, you are estimating a model with 3 variables (2 from DGP and 1 irrelevant). You try a random sample of 100 (estimation 1) and 500 (estimation 2) observations. You expect that

• After estimation 1 standard errors are higher than after estimation 2.

• After estimation 2 standard errors are higher than after estimation 1.

• After estimation 2 standard errors are exactly the same as after estimation 1.

What is the correct statement?

• Standard errors are used to calculate test statistic.

• Standard errors are used to make inference.

• Standard errors are reported in the Stata output of the regression estimation.

• All of the above

After estimation you got y = 2.5 + 3.5*x, st.error of beta1 is 1, number of obs. is 421. Would you reject the null hypothesis of beta1 = 0.5 at 5% level?

• Yes, as 3 is greater than roughly 2

• Yes, as 3.5 is greater than roughly 2.

• No, as 3 is greater than roughly 2.

• No, as 3.5 is greater than roughly 2.

Choose all the correct options: The critical value of t-test depends on:

• Number of observations

• Number of estimated parameters.

• Significance level

• Standard errors