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model selection tests

do file* It is typically simple to test for superiority of one model over another model when using nested models.* This can be accomplished in linear regression through use of a Wald test.* For example:* Let’s say you have one hypothesis that H0: y = x…

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January 18th, 2013 | Category: f-test, model selection, nested models, non-nested models, Stata, t-test | Comments are closed

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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November 19th, 2012 | Category: f-test, Monte Carlo Simulation, p-stat, rejection rates, Simulation, Stata, t-stat, t-test | Comments are closed