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Re: st: Fw: Multiple One-Tailed Tests


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fw: Multiple One-Tailed Tests
Date   Wed, 7 Jul 2010 20:00:35 -0400

The joint confidence interval for the coefficients is an ellipse, and
can be plotted with the package -ellip- (-findit-) at SSC.   -ellip-
only works after -regress-.

**************CODE BEGINS**********
sysuse auto, clear
gen wt1000 = weight/1000
reg mpg rep78  wt1000
ellip rep78 wt1000 coef xline(0) yline(0)
*************CODE ENDS******

Steve

On Wed, Jul 7, 2010 at 6:34 PM, Airey, David C
<david.airey@vanderbilt.edu> wrote:
> .
>
> Because each coefficient is tested with the symmetric t distribution, we can make both of those alpha/2. And then their joint test, is what is wanted.
>
> Thanks for clarifying that one, Roger and Maarten.
>
>
> --- On Wed, 7/7/10, Bea Potter asked:
>> > Given the following regression,
>> >
>> > y = b0 + b1 x1 + b2 x2 + u
>> >
>> > we want to test whether we can reject b1>0 and
>> > b2<0.
>
> --- On Wed, 7/7/10, Airey, David C answered:
>> The joint test is the F statistic for the model, since b1
>> and b2 are the only coefficients. So isn't it just alpha/2?
>
> If I remember correctly the alpha/2 trick works because the
> distribution of the test statistic (t distribution or normal
> distribution) is symetric. This is not the case for the
> F-distribution.
>
> I had a look at this issue a while back, and it turned out
> not to be an easy problem. I'd love to be proven wrong
> though.
>
> -- Maarten
>
>
>
>
> *
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>



-- 
Steven Samuels
sjsamuels@gmail.com
18 Cantine's Island
Saugerties NY 12477
USA
Voice: 845-246-0774
Fax:    206-202-4783

*
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