Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

Exercise 13

Suppose that a researcher, using data on class size (CS) and average test scores from 100 third-grade classes, estimates the OLS regression

a. Construct a 95% confidence interval for 1, the regression slope coefficient.
b. Calculate the p -value for the two-sided test of the null hypothesis H 0 : 1 = 0. Do you reject the null hypothesis at the 5% level At the 1% level
c. Calculate the p -value for the two-sided test of the null hypothesis H 0 : 1 = 5.6. Without doing any additional calculations, determine whether -5.6 is contained in the 95% confidence interval for 1.
d. Construct a 99% confidence interval for 0.