We're doing simple linear regression. Anova decomposition. $$SS=RegSS+RSS$$ or better $$(n-1)s_Y^2=\hat{b}_1^2s_{XX}+(n-2)s^2$$
We know that when the fit is good, then RegSS will be large. Therefore we use the test hypothesis $H_0:\beta_1=0$.
Now my book says "Under the null hypothesis, $\beta_1=0$ and since we know $$\hat{\beta}_1 \sim N\left(\beta_1, \frac{\sigma^2}{s_{XX}}\right)$$ we have that $\hat{\beta}_1 \sim \left(0, \frac{\sigma^2}{s_{XX}}\right)$."
Then goes on finding a statistics which is $N(0,1)$ and then dividing by a certain factor, gets an $F$ distribution.
My question is: if we are under the null hypothesis, that says that the simpler model (the constant one $Y_i \sim N(\beta_0, \sigma^2)$) is correct, i.e. $\beta_1=0$, then why can we still use the estimator for $\beta_1$? Surely if we are under $H_0$, then $\beta_1$ has no meaning and also the meaning of $\beta_0$ changes, indeed now $\beta_0$ is estimated by $\bar{Y}$ rather than $\hat{\beta}_0 \sim N\left(\beta_0, \frac{1}{n}+\frac{\bar{x}^2}{s_{XX}}\right)$. So if the meaning AND the distribution of the estimator of $\beta_0$ change completely, surely so should for the estimator of $\beta_1$. Not only that, but if we want to be more precise, we should have
- $\beta_0^{(1)}$ and $\beta_1^{(1)}$ which are the parameters of the linear regression model, estimated by $\hat{\beta}_0^{(1)}$ and $\hat{\beta}_1^{(1)}$.
- $\beta_0^{(0)}$ and $\beta_1^{(0)}$ which are the parameters under the null hypothesis (i.e. simpler model) and are estimated by $\hat{\beta}_0^{(0)}$ and $\hat{\beta}_1^{(0)}$.
So not only, under the null hypothesis, the previous $\hat{\beta}_1$ makes no sense, but also, it would be a totally different object than the one in the regression model.