Degrees of Freedom in t-Distribution for Simple Regression without a Constant

  • Thread starter Thread starter MaxManus
  • Start date Start date
  • Tags Tags
    Square Statistics
Click For Summary
SUMMARY

The discussion centers on the derivation of the t-distribution for the statistic \(\frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}}\) in the context of simple regression without a constant. It is established that if \(\frac{\hat{B} - B}{S} \sqrt{n}\) follows a t-distribution with \(n-1\) degrees of freedom, then \(\frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}}\) also follows a t-distribution with the same degrees of freedom. The key components include the least squares estimator \(\hat{B}\) for the slope \(B\) and the estimator \(S^2\) for the variance \(\sigma^2\).

PREREQUISITES
  • Understanding of simple linear regression without a constant term
  • Familiarity with least squares estimation
  • Knowledge of the properties of the t-distribution
  • Basic statistical inference concepts
NEXT STEPS
  • Study the derivation of the t-distribution in the context of regression analysis
  • Learn about the properties of least squares estimators in regression
  • Explore the implications of degrees of freedom in statistical testing
  • Investigate the relationship between sample size and the t-distribution
USEFUL FOR

Statisticians, data analysts, and students studying regression analysis who need to understand the statistical properties of estimators in simple regression models.

MaxManus
Messages
268
Reaction score
1

Homework Statement



Simple regression without a constant
Yi = Bxi + epsi for i = 1,2,...n
epsi are independent and N(0, sigma^2) distributed, B and sigma^2 are unknown.

All my sums are from i = 1 to n
The question is: Explain why:
[tex]\frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}}[/tex]
is t-distirbuted with n-1 degrees of freedom.

[tex]\hat{B}[/tex] is the least square estimator for B, and S^2 is the least square estiamtor for sigma^2


I'm not sure how to start solving the problem. My first idea was that this looket like a standard t-distribution for [tex]\hat{B}[/tex], but [tex]\sqrt{n} \neq \sqrt{\sum{x_i^2}}[/tex]

Homework Statement





Homework Equations




The Attempt at a Solution

 
Physics news on Phys.org
Can you say;
If
[tex]\frac{\hat{B} - B}{S}\sqrt{n}[/tex] is t-distributed then:
[tex]\frac{\hat{B} - B}{S} \sqrt{\sum{x_i^2}}[/tex]
is t-distributed since n and the x are just numbers?
And can you go further and say that if the first have (n-1) degrees of freedom then the second equation also has to?
 

Similar threads

Replies
3
Views
2K
Replies
1
Views
2K
Replies
10
Views
2K
  • · Replies 6 ·
Replies
6
Views
2K
  • · Replies 3 ·
Replies
3
Views
3K
  • · Replies 6 ·
Replies
6
Views
3K
Replies
1
Views
4K
  • · Replies 5 ·
Replies
5
Views
5K
  • · Replies 4 ·
Replies
4
Views
2K
  • · Replies 1 ·
Replies
1
Views
1K