I am going to estimate the following model:
y=constant+b1(X)+b2(X)(Dummy)
We have daily data from 1990 to 2000. Dummy variable is equal to one for the daily data of year 2000, else zero. b1 is the main effect, and b2 is the marginal effect because of the dummy. The total effect in year 2000= b1+b2. How to estimate the statistical significance t-stat for this total effect (b1+b2)?
One and easy way is to use a a dummy with D′=1−D′. However, I am more interested to use contrasts. The details about both methods are available at https://stats.stackexchange.com/questions/474912/total-effect-of-main-variable-and-its-interaction-w...
Thank you very much.
The statistical significance of b2 (i.e. the probability that hypothesis b2=0 can be accepted) will tell you if the relation between y and X has changed in 2000, compared with the 1990-1999 period.
The question you are asking is answered by the overall F-test.
Sorry, I should have mentioned it. Yes I am using proc reg. I used test but it provided F-test instead of t-test.
You don't need a t-test, the overall F-test is the exact test you want. And if you could figure out the right t-test to do here, it should give the exact same p-value as the overall F-test.
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