13. More uses of the F-test Suppose you are using the following F-statistic to t

Question

13. More uses of the F-test Suppose you are using the following F-statistic to test a number of exclusion restrictions, in a model with k independent variables and slope Rk ·A" is the R-squared from a regression of the dependent variable on all k independent variables, plus an intercept term, n is the number of observations. Based on the form of the F-statistic you are using, which of the following must be the case? O You are testing for the significance of B OYou are testing n axcclusion restrictions. O You are testing for the overall significance of a regression. You are testing for the joint significance of all parameters except

Explanation / Answer

The F-test is used to test whether a group of variables(independent variables) have a joint effect on dependent variables(y).The formula given above for the above test is used to test for the overall significance of the regression model.In other words it is used to test whether these variables are jointly significant.

So the correct answer is

option C (You are testing the overall significance of a regression).

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