Question

After calculating the point estimate and standard error, computing a p-value or confidence interval for a single coefficient in a multiple regression model differs from the case of one regressor in that

only a null hypothesis of zero is meaningful.

the critical values depend on the other estimated coefficients.

the critical values are different due to non-normality.

actually they're the same.

Answer 1

Solution :

After calculating the point estimate and standard error, computing a p-value or confidence interval for a single coefficient in a multiple regression model differs from the case of one regressor in that ---

The Correct Answer is --- "The critical values depend on the other estimated coefficients."

Explanation : After calculating the point estimate and standard error , when we calculate the Critical Values , P - values or the Confidence Intervals for a single coefficient in a Multiple Regression model , then , in calculating the Degrees of Freedom , we not only take into consideration the Total Number of Observations but also the Total Number of Estimated Coefficients in that model. But in case of only One Regressor Model , we only take into consideration the Intercept. Thus , the Critical Values in the above two cases differ.