Question: ECONOMETRICS. CHAPTER 9. HYPOTHESIS TESTING Exercise 9.3 Let T be a t-statistic for Ho : 0 = 0 versus Hj : 0 # 0. Since

ECONOMETRICS. CHAPTER 9. HYPOTHESIS TESTING

ECONOMETRICS. CHAPTER 9. HYPOTHESIS TESTING Exercise 9.3 Let T be a t-statistic

Exercise 9.3 Let T be a t-statistic for Ho : 0 = 0 versus Hj : 0 # 0. Since |TI - a |Z| under Ho, someone suggests the test "Reject Ho if | TI c2, where c] is the a/2 quantile of | Z| and c2 is the 1 - a /2 quantile of | ZI. (a) Show that the asymptotic size of the test is a. (b) Is this a good test of Ho versus Hi? Why or why not

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