Regression Inference

Regression Inference: Files

• Lecture: Regression Inference.pdf
• Stata program: Regression Inference.do
• Data files: wage1.dta
• R script: Regression Inference.R
• Data files: wage1.csv

Regression Inference: Lecture Topics

• Statistical inference in regression (hypothesis testing)
• Normality of errors assumption and test for normality
• Hypothesis tests about coefficient significance
  • T-test for coefficient significance
  • F-test for coefficient significance
    • Significance of a single coefficient
    • Joint significance of several coefficients
    • Overall significance of regression – all coefficients jointly significant
• LM chi-square test for coefficient significance

Regression Inference in Stata/R: Topics

• Shapiro-Wilk test for normality
• t-test for coefficient significance
• F-test for single coefficient significance
• F-test for joint coefficient significance
• F-test for overall significance
• Lagrange Multiplier chi-square test for coefficient significance