Compare the three distributions and write up your conclusion

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Create your own Monte Carlo study. The workbook MyMonteCarlo.xls contains the functions NormalRandom(), Uniform(), and Expo() in a Visual Basic mod- ule. Use this file and these functions to see how well the Whole Model F-Test performs under alternative assumptions about the error terms - that they are normally, uniformly, or exponentially distributed. Use the sample with three X variables (fixed in repeated sampling) that we have helpfully placed in the Data sheet. Set the SD of the errors equal to 10. Make the true values of the param- eters β1, β2, and β3 all equal to zero so that the null hypothesis of the Whole Model F-test is true. Approximate the distribution of the F-statistics for the three error distributions using the LINEST function to obtain the Whole Model F- statistic and the MCSim Add-in. Compare the three distributions and write up your conclusions.

Reference no: EM13882309

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