You run a multiple regression with 66 cases and 5 explanatory variables.
(a) What are the degrees of freedom for the F statistic for testing the null hypothesis that all five of the regression coefficients for the explanatory variables are zero?
(b) Software output gives MSE = 36. What is the estimate of the standard deviation Sigma of the model?
(c) The output gives the estimate of the regression coefficient for the first explanatory variable as 12.5 with a standard error of 2.4. Find a 95% confidence interval for the true value of this coefficient.