Testing Restrictions in Multiple Regression Models: F-tests and Forecasting Variance

Jan 20, 2026

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This lecture delves into the intricacies of multiple regression analysis, focusing on testing restrictions within a model. We examine the F-test application in the context of the aggregate demand model, predictions, and forecast variance decomposition. The session includes a practical approach to understanding restrictions expressed in matrix notation, discussing issues like bias from omitted variables and tests for model mis-specification. Gain insights into the forecast error variance and how to apply restrictions on price and income elasticities effectively.

sydney-greer

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Testing Restrictions in Multiple Regression Models: F-tests and Forecasting Variance

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