Suppose you are testing the statistical significance (at the 1% significance level) of a parameter estimate from the regression model: M = a + bR + cI
Which is estimated using a cross-section data set on 22 firms.The critical value of the appropriate test statistic is

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The critical value for a t-test at the 1% significance level with a small sample size (such as 22 firms) would typically be looked up in a t-distribution table. Given the options, A) t_critical = 2.861 is the correct choice because it is a value from the t-distribution, which is used for testing the statistical significance of a parameter estimate in regression models. The other options either present values that are not typical for a t-distribution at this significance level and degrees of freedom (B and C), or refer to an F-distribution critical value (D and E), which is not appropriate for testing a single parameter estimate in regression analysis.

Suppose You Are Testing the Statistical Significance (At the 1