Chapter 5

Regression with a Single Regressor: Hypothesis

Tests and Confidence Intervals
Regression with a Single Regressor:
Hypothesis Tests and Confidence Intervals
(SW Chapter 5)

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But first a big picture view

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Parameter of interest: 1

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Hypothesis Testing and the Standard
Error of 1 (Section 5.1)

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Formula for SE(1)

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Summary: To test H0: 1 = 1,0 v. H1:
1 1,0,

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Example: Test Scores and STR,
California data

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Confidence Intervals for 1
(Section 5.2)

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A concise (and conventional) way to
report regressions:

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Reading SAS output

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Summary of Statistical Inference
about 0 and 1:

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Regression when X is a Dummy
Variable (Section 5.3)

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Interpreting regressions with a
dummy regressor

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Summary: regression when Xi is a
dummy variable

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Heteroskedasticity and Homoskedasticity-
Only Standard Errors (Section 5.4)

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Homoskedasticity in a picture:

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Heteroskedasticity in a picture:

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Income Data Homoskedastic?

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Class size data Homoskedastic?

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So far we have (without saying so) allowed u
to potentially be heteroskedastic.

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What if the errors are in fact homoskedastic?

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We now have two formulas for

standard errors for 1

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Practical implications

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The Extended Least Squares
Assumptions (Section 5.5)

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Efficiency of OLS, part I: The
Gauss-Markov Theorem

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The Gauss-Markov Theorem, ctd.

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Efficiency of OLS, part II:

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Outliers and OLS

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