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Q48Section ST (Statistics (Q11–Q65))48 of 65

R^2 consistent with a rejected F-test

Consider the multiple linear regression model Yi=β0+β1xi1+β2xi2+β3xi3+εiY_i = \beta_0 + \beta_1 x_{i1} + \beta_2 x_{i2} + \beta_3 x_{i3} + \varepsilon_i, i=1,2,…,31i = 1, 2, \dots, 31, where εi\varepsilon_i are independent and identically distributed N(0,1)N(0, 1) variables. The FF-test for testing significance of regression rejects the null hypothesis H0:β1=β2=β3=0H_0: \beta_1 = \beta_2 = \beta_3 = 0 against the alternative HAH_A: at least one βj\beta_j is not equal to 0, j=1,2,3j = 1, 2, 3, at 5% level of significance. It is given that F0.05; 3,27=2.96F_{0.05;\, 3, 27} = 2.96, F0.05; 3,30=2.92F_{0.05;\, 3, 30} = 2.92, F0.025; 3,27=4.01F_{0.025;\, 3, 27} = 4.01, F0.025; 3,30=3.91F_{0.025;\, 3, 30} = 3.91, where, for a random variable FF following central FF-distribution with (m,n)(m, n) degrees of freedom, P(F>Fα; m,n)=αP(F > F_{\alpha;\, m, n}) = \alpha, α∈(0,1)\alpha \in (0, 1). Then the value of R2R^2 cannot be equal to

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