coefficient interpretation

Econometrics questions and discussions

coefficient interpretation

Unread postby jack » Mon Feb 03, 2020 10:20 am

Dear Tom,

I am some how confused about the below results.
I would be grateful if you could possibly guide me.

How it is possible that:
a) the null of beta=0 cannot be rejected and meanwhile the null of beta=1 also cannot be rejected?

And what about the the joint hypothesis of Alpha=0 and Beta=1? (it cannot be rejected).

Linear Regression - Estimation by Least Squares
With Heteroscedasticity-Consistent (Eicker-White) Standard Errors
Dependent Variable DEP
Usable Observations 53
Degrees of Freedom 51
Centered R^2 0.0200152
R-Bar^2 0.0007998
Uncentered R^2 0.1113663
Mean of Dependent Variable 0.0371020898
Std Error of Dependent Variable 0.1168258428
Standard Error of Estimate 0.1167791170
Sum of Squared Residuals 0.6955054710
Log Likelihood 39.6316
Durbin-Watson Statistic 2.2798

Variable Coeff Std Error T-Stat Signif
1. Constant 0.0169966283 0.0214227068 0.79339 0.42754881
2. INDEP 0.6303479148 0.9810692176 0.64251 0.52054135

Test for indep(Beta)=1
Chi-Squared(1)= 0.141967 with Significance Level 0.70633345

Test for constant(Alpha)=0 & indep(Beta)=1
Chi-Squared(2)= 1.137291 or F(2,*)= 0.56865 with Significance Level 0.56629188
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Re: coefficient interpretation

Unread postby TomDoan » Sat Feb 08, 2020 5:39 pm

Your interpretation is correct; you cannot reject either 0 or 1. Obviously the data don't have very strong information about the value of beta.
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