Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

Exercise 4

Explain how you would test the null hypothesis that ßi - 0 in the multiple regression model Y t = ß 0 + ß 1 X 1i + ß 2 X 2i +u i Explain how you would test the null hypothesis that ß 2 = 0. Explain how you would test the joint hypothesis that ßi = 0 and ß 2 = 0. Why isn't the result of the joint test implied by the results of the first two tests