Question

A regression model involved 5 independent variables and 126 observations. The critical value of t for testing the significance of each of the independent variable's coefficients will have is __

Answer 1

Here we have given,

n = 126 Observations

And,

k = 5 independent variables

Note that there are p = k + 1 normal equations, one for each of the unknown regression coefficients. The solution to the normal equations will be the least-squares estimators

Hence, p = k+1= 6

The critical value of t for testing the significance of each of the independent variables coefficient will have is,

T _alpha/2,n-p

Where alpha is level of significance

When alpha = 0.05

Then value of t is,

T _{0.025, 120} = 1.97993

​​​​When alpha =0.01

Then value of t is,

T _{0.005, 120} = 2.617421