Question #66 - Reading 1 Multiple Regression

Reading: Reading 1 Multiple Regression

PDF File: Reading 1 Multiple Regression.pdf

Page: 31

Status: Unattempted

Shared Context

- Using a 5% level of significance, there is: A) no evidence of serial correlation in the residuals. B) evidence of first-lag serial correlation in residuals. C) evidence of second-lag serial correlation in residuals.

Question

Assuming a restricted model with all three variables removed and a 5% level of significance, the most appropriate conclusion is:

Answer Choices:

A. With an F-statistic of 0.472, we fail to reject the null hypothesis of all coefficients equal to zero

B. With an F-statistic of 2.66, we fail to reject the null hypothesis of all slope coefficients equal to zero

C. With an F-statistic of 24.54, we reject the null hypothesis that all the slope coefficients are equal to zero

Explanation

We are testing that all slope coefficients are equal to 0. F = [RSS/K] / [SSE/(n-k-1)] = (126/3) / (267/156) = 42/1.711 = 24.54 Critical F(3,156) = 2.66 F-stat > critical F > reject null that all slope coefficients are equal to zero.

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