Question
Problem 1. (10 points) 1a) 2 point Starting from the formula for the F test statistic based on the Sum of Square Residuals for the
Problem 1. (10 points) 1a) 2 point Starting from the formula for the F test statistic based on the Sum of Square Residuals for the restricted and unrestricted models, show the equivalent formulation for the F test statistic using the R squared for the restricted and unrestricted models. 1b) 3 point Consider a model with k regressors. Based on the F test statistic formula using the R squared from 1a), what is the F test statistic for the null that all coefficients in a regression (except for the constant) are jointly zero? [Hint: what is the R squared for the restricted model, where y is regressed only on a constant?] 1c) 5 points Consider the following regression output. What is the F test statistic for the null that all coefficients in a regression (except for the constant) are jointly zero? Make sure to specify the number of restrictions and the degrees of freedom in this F test.
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