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For the simple linear regression model y = 0 1x u we can use a t-statistic to test the null hypothesis H0 : 1 =
For the simple linear regression model y = 0 1x u we can use a t-statistic to test the null hypothesis H0 : 1 = 0. In addition, we have also seen how to construct an F-statistic for the simple linear regression model where F = M S of SSE M S of SSR Here, we examine the relationship between these two statistics. A. Write an expression for n i=1 (xi x)2 based on the sample variance of x, S2 X . B. Show that the explained sum of squares, SSE = n i=1 ( yi y)2, can be re-written as ( 1 )2 n i=1 (xi x)2. (Hint: use definition of yi and OLS estimator 0) C. Use the results in parts A and B to write the F-statistic in terms of 1, S2 X , and 2. D. Write the SE ( 1 ) in terms of SX and . 4
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