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Q65Section ST (Statistics (Q11–Q65))65 of 65

R-squared threshold for an F test

Consider the multiple linear regression model yi=β0+β1x1i+β2x2i+ϵiy_i = \beta_0 + \beta_1 x_{1i} + \beta_2 x_{2i} + \epsilon_i, i=1,2,…,25i = 1,2,…,25, where β0,β1\beta_0, \beta_1 and β2\beta_2 are unknown parameters, ϵi\epsilon_i's are uncorrelated random errors with mean 0 and finite variance σ2>0\sigma^2 > 0. Let Fα,m,nF_{\alpha,m,n} be such that P(Y>Fα,m,n)=αP(Y > F_{\alpha,m,n}) = \alpha, where YY is a random variable having an FF-distribution with mm and nn degrees of freedom. Suppose that testing H0:β1=β2=0H_0: \beta_1 = \beta_2 = 0 against H1H_1: At least one of β1,β2\beta_1, \beta_2 is not 0 involves computing F0=11R21−R2F_0 = 11 \frac{R^2}{1-R^2} and rejecting H0H_0 if the computed value F0F_0 exceeds Fα,2,22F_{\alpha,2,22}. Given that F0.025,2,22=4.38F_{0.025,2,22} = 4.38, F0.05,2,22=3.44F_{0.05,2,22} = 3.44, the smallest value of R2R^2 that would lead to rejection of H0H_0 for α=0.05\alpha = 0.05 equals ________ (rounded off to two decimal places).

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