since the model 2 has two more variables than model 1, this is a comparision of nested models, which should use F-test.
You can treat model one as a restricted model of model two, the restrictions are b5=0 and b6=0
The unrestricted model is always better than restricted model. (see Greene 2002)
"The fit of the restricted least squares coefficients cannot be better than that of the unrestricted solution" (Greene 2002 p101)
But you can use F test to test whether restricted model is statatisticlly not difference with the unrestricted model.
H0: b5=0, b6=0
H1:
If rejected H0, choosing unrestricted model
if do not reject H0, choosing restricted model
Test statistic sees Greene 2002 p102(Fifth Version )
One more thing, this test assumes that disturbances follow normal distribution.
扫码加好友，拉您进群
全部版块
我的主页
收藏
