Inference for the regression mean Least-Squares Estimator According to the regression model, the mean of variable y for a given value for x, say x x* , is E y | x x x . This mean is estimated by yˆ ˆ ˆ ˆ x . With the usual * y| x0 0 1 * * y| x* 0 1 * assumptions of normality, constant variance, and random sampling, the sampling distribution of ŷ* can be calculated. It is a normally distributed, unbiased estimator with sampling variance 1 x* x 2 . With this information, inference about the mean can be undertaken. 2 n xi x 2 Testing We can test the hypothesis H 0 : y| x* * with a t-test. Using the estimator s 2 for the unknown variance 2 , we obtain t yˆ* * 1 ~ t n 2 , with s yˆ* s s yˆ* n x* x 2 xi x 2 , and reject the null hypothesis according to the direction of the alternative hypothesis and the probability of type I error. Confidence interval for x* A confidence interval for the mean is constructed in the usual manner, as yˆ* t 1 2 df n 2s yˆ * Predictive interval for y* A predictive interval for y given x x* can be obtained by remembering that y* 0 1 x* * , so that even with the mean known exactly, there is an irreducible variance component var * 2 for predicting y* . If we add this to the variance of the mean estimator, we obtain the variance y2* 2 1 1 n x* x 2 . xi x 2 unknown 2 , yielding yˆ* t Thus, a predictive interval can be constructed by substituting s 2 for the 1 2 2 , where s s 1 y * * n df n 2s y 1 2 x* x 2 . xi x 2