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Consider the Following Multiple Regression Model

Question 55

Essay

Consider the following multiple regression model
Yi = β0 + β1X1i + β2X2i + β3X3i + ui
You want to consider certain hypotheses involving more than one parameter,and you know that the regression error is homoskedastic.You decide to test the joint hypotheses using the homoskedasticity-only F-statistics.For each of the cases below specify a restricted model and indicate how you would compute the F-statistic to test for the validity of the restrictions.
(a)β1 = -β2;β3 = 0
(b)β1 + β2 + β3 = 1
(c)β1 = β2;β3 = 0

Correct Answer:

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(a)The restricted model is Yi = β0 + β2 ...

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