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t-tests and F-tests and rejection rates

Original Code* When I was first learning about t-tests and f-tests I was told that a t-test estimated the probability of falsely rejecting the null for a single estimator.* While the f-test estimated the probability of rejecting the null that the model…

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Random Coefficients with IFGLS and MLE

Original Code* In a recent post on Estimating Random Coefficients (http://www.econometricsbysimulation.com/2012/11/estimating-random-coefficients-on-x.html), I proposed the use of Maximum Likelihood Estimation (MLE) as a means of estimating both the he…

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