Explanation:
The prediction interval is calculated as the predicted value of the dependent variable plus or minus the critical t-value multiplied by the standard error of the forecast.
Option A (Incorrect): A larger sample size reduces the standard error of the forecast and the critical t-value, leading to a narrower prediction interval, all else held constant.
Option B (Incorrect): An increase in the level of significance decreases the critical t-value, resulting in a narrower prediction interval, all else held constant.
Option C (Correct): The standard error of the estimate reflects the fit of the regression model. A higher standard error of the estimate increases the standard error of the forecast, thereby widening the prediction interval, all else held constant.
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All else being equal, which of the following factors would most likely result in a wider prediction interval for the dependent variable when re-estimating a linear regression model? An increase in the:
A
sample size.
B
level of significance.
C
standard error of the estimate.
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