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Test Bank for Introduction to Econometrics 4th Edition James H. Stock
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Test Bank for Introduction to Econometrics 4th Edition James H. StockTest Bank for Introduction to Econometrics 4th
Edition James H. Stock
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,Introduction to Econometrics, 4e (Stock/Watson)
Chapter 7 Hypothesis Tests and Confidence Intervals in Multiple Regression
7.1 Multiple Choice Questions
1) The confidence interval for a single coefficient in a multiple regression:
A) makes little sense because the population parameter is unknown.
B) should not be computed because there are other coefficients present in the model.
C) contains information from a large number of hypothesis tests.
D) should only be calculated if the regression R2 is identical to the adjusted R2.
Answer: C
2) The following linear hypothesis can be tested using the F-test with the exception of:
A) β2 = 1 and β3= β4/β5.
B) β2 = 0.
C) β1 + β2 = 1 and β3 = -2β4.
D) β0 = β1 and β1 = 0.
Answer: A
3) The formula for the standard error of the regression coefficient, when moving from one
explanatory variable to two explanatory variables:
A) stays the same.
B) changes, unless the second explanatory variable is a binary variable.
C) changes.
D) changes, unless you test for a null hypothesis that the addition regression coefficient is zero.
Answer: C
4) All of the following are examples of joint hypotheses on multiple regression coefficients, with
the exception of:
A) H0 : β1 + β2 = 1
B) H0 : = β1 and β4 = 0
C) H0 : β2 = 0 and β3 = 0
D) H0 : β1 = -β2 and β1 + β2 = 1
Answer: A
5) When testing joint hypothesis, you should:
A) use t-statistics for each hypothesis and reject the null hypothesis is all of the restrictions fail.
B) use the F-statistic and reject all the hypothesis if the statistic exceeds the critical value.
C) use t-statistics for each hypothesis and reject the null hypothesis once the statistic exceeds the
critical value for a single hypothesis.
D) use the F-statistics and reject at least one of the hypothesis if the statistic exceeds the critical
value.
Answer: D
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Copyright © 2019 Pearson Education, Inc.
,6) The overall regression F-statistic tests the null hypothesis that:
A) all slope coefficients are zero.
B) all slope coefficients and the intercept are zero.
C) the intercept in the regression and at least one, but not all, of the slope coefficients is zero.
D) the slope coefficient of the variable of interest is zero, but that the other slope coefficients are
not.
Answer: A
7) For a single restriction (q = 1), the F-statistic:
A) is the square root of the t-statistic.
B) has a critical value of 1.96.
C) will be negative.
D) is the square of the t-statistic.
Answer: D
8) The homoskedasticity-only F-statistic is given by the following formula:
A) F=
B) F=
C) F=
D) F=
Answer: A
9) All of the following are correct formulae for the homoskedasticity-only F-statistic, with the
exception of:
A) F=
B) F=
C) F= ×
D) F = ×
Answer: B
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Copyright © 2019 Pearson Education, Inc.
, 10) In the multiple regression model, the t-statistic for testing that the slope is significantly
different from zero is calculated:
A) by dividing the estimate by its standard error.
B) from the square root of the F-statistic.
C) by multiplying the p-value by 1.96.
D) using the adjusted R2 and the confidence interval.
Answer: A
11) To test joint linear hypotheses in the multiple regression model, you need to:
A) compare the sums of squared residuals from the restricted and unrestricted model.
B) use the heteroskedasticity-robust F-statistic.
C) use several t-statistics and perform tests using the standard normal distribution.
D) compare the adjusted R2 for the model which imposes the restrictions, and the unrestricted
model.
Answer: B
12) The homoskedasticity-only F-statistic is given by the following formula
A) F=
B) F=
C) F=
D) F=
Answer: A
13) Let R2unrestricted and R2restricted be 0.4366 and 0.4149 respectively. The difference
between the unrestricted and the restricted model is that you have imposed two restrictions.
There are 420 observations. The homoskedasticity-only F-statistic in this case is:
A) 4.61
B) 8.01
C) 10.34
D) 7.71
Answer: B
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Copyright © 2019 Pearson Education, Inc.
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