2. (a) True/false/uncertain? i. Every point in the 95% condence set of an F-test

Question

2. (a) True/false/uncertain?

i. Every point in the 95% condence set of an F-test necessarily falls within the

99% condence set for the same F-test.

(b) Suppose a researcher adds a new regressor to a regression model. Which of the

following is true? (select one)

i. The R^2 value of the regression will increase for sure, but the adjusted R^2 may

increase or decrease.

ii. The R2 of the regression will not decrease.

iii. (i) and (ii).

iv. Neither (i) nor (ii).

(c) Consider the statement  researcher should go ahead and add a new regressor

whenever adding it to the regression model increases the adjusted R^2. " Which of the following is true? (select one)

i. Adding another regressor to the model may improve its t, but if the re-

searcher's goal is to estimate a causal relationship she should not be concerned

with t, but with eliminating omitted variable bias.

ii. Adding another regressor may reduce variation in the variable of interest con-

ditional on all other regressors, thereby making the estimate of the coecient

on the variable of interest less precise.

iii. (i) and (ii).

iv. Neither (i) nor (ii).

Explanation / Answer

2)

a) True
since F value at 95% is smaller than F vlaue at 99%

so Ftest < F95 < F99

b)

i. The R^2 value of the regression will increase for sure, but the adjusted R^2 may

increase or decrease.

c)

iii. (i) and (ii).

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