Statistical Inference
PG 1st Year
Hypothesis Testing in Multiple Regression
• Testing hypotheses about an individual partial regression coefficient
• Testing the overall significance of the estimated multiple regression
model, that is, finding out if all the partial slope coefficients are
simultaneously equal to zero
1. Hypothesis Testing about Individual Regression
Coefficients
• If u~ N(0, 𝜎 2 ) , we can use the t test to test a hypothesis about any
individual partial regression coefficient.
Cont..
• if the computed t value exceeds the critical t value at the chosen level of
significance, we may reject the null hypothesis; otherwise, we may not
reject it.
• Here, N=64. (df= 64-3=61)
• If you refer to the t table, If we use these df, and assume α, the level of
significance (i.e., the probability of committing a Type I error) of 5 percent,
the critical t value is 2.0 for a two-tail test (look up 𝑡∝/2 for 60 df) or 1.671 for
a one-tail test (look up 𝑡∝ for 60 df).
Cont..
• For our example, the alternative hypothesis is two-sided.
• Therefore, we use the two-tail t value. Since the computed t value of 2.8187 (in
absolute terms) exceeds the critical t value of 2, we can reject the null hypothesis that
PGNP has no effect on child mortality.
• To put it more positively, with the female literacy rate held constant, per capita GNP
has a significant (negative) effect on child mortality, as one would expect a priori.
• In practice, one does not have to assume a particular value of α to conduct hypothesis
testing.
• One can simply use the p value given, which in the present case is 0.0065.
• The interpretation of this p value (i.e., the exact level of significance) is that if the
null hypothesis were true, the probability of obtaining a t value of as much as 2.8187
or greater (in absolute terms) is only 0.0065 or 0.65 percent, which is indeed a small
probability, much smaller than the artificially adopted value of α = 5%.
Cont..
2. Testing the Overall Significance of the Sample
Regression
• Till present we were concerned with testing the significance of the estimated
partial regression coefficients individually, that is, under the separate hypothesis
that each true population partial regression coefficient was zero.
• But now consider the following hypothesis:
Cont..
• Can the joint hypothesis tested by testing the significance of 𝛽መ2 and𝛽መ3
individually? The answer is no, and the reasoning is as follows.
• In testing the individual significance of an observed partial regression coefficient,
we assumed implicitly that each test of significance was based on a different (i.e.,
independent) sample.
• Thus, in testing the significance of 𝛽መ2 under the hypothesis that 𝛽2 = 0, it was
assumed tacitly that the testing was based on a different sample from the one used
in testing the significance of 𝛽መ3 under the null hypothesis that 𝛽3 = 0.
• But to test the joint hypothesis, if we use the same sample data, we shall be
violating the assumption underlying the test procedure, i.e. in any given sample
the 𝐶𝑜𝑣(𝛽መ2 , 𝛽መ3 ) may not be zero, that is 𝛽መ2 𝑎𝑛𝑑 𝛽መ3 are correlated.
The Analysis of Variance Approach to Testing the Overall
Significance of an Observed Multiple Regression: The F
Test
• we cannot use the usual t test to test the joint hypothesis that the true partial slope
coefficients are zero simultaneously.
• However, this joint hypothesis can be tested by the analysis of variance (ANOVA)
technique.
• As we know
Cont..
• TSS has, as usual, n − 1 df and RSS has n − 3 df for reasons already discussed.
ESS has 2 df since it is a function of 𝛽መ2 and 𝛽መ3 .
• under the assumption of normal distribution for 𝑢𝑖 and the null hypothesis 𝛽መ2 = 𝛽መ3
= 0, the variable
Cont..