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Questions tagged [f-statistic]

An F statistic is a value you get when you run an ANOVA test or a regression analysis to find out if the means between two populations are significantly different.

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If two IV yield distinct F-statistics in the first-stage regression, does it indicate that they are different IV, regardless of the correlation?

Suppose we are in a panel context where we are estimating while controlling for fixed effects. Let's assume that we have two instruments Z1 and Z2 for the X endogenous variable and both instrument are ...
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Linear regression on categorical variable, how to interpret the F-statistic?

I am using statsmodels to fit a regression: smf.ols(formula=change ~ C(location))` where change is a continuous variable. I have a lot of locations and some of the ...
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Calculate $R^2$ given estimated coefficients and $N$ only

We have a simple regression equation $y=a+bx$, where $a,b$ were estimated via OLS -- we know these values. Suppose the number of observations $N=25$ is given. Is it true, that we cannot calculate $R^2$...
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Ordinary Linear Regression with One Independent Variable

I am currently undertaking a project where I aim to explore the relationship between a single independent variable and a dependent variable. I have five questions that are answered on a 5-Point Likert ...
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F-Statistic and F-distribution [duplicate]

I am reading ISLP chapter 3.2 about multiple linear regressions. F-statistic seems like to be a statistic calculated per sample. But also we know that it is just and estimation for the stat on whole ...
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Interpreting linear regression (Do grammar schools increase the attainment gap for disadvantaged pupils?)

On Monday The Education Policy Institute published its annual report on education in England https://epi.org.uk/annual-report-2023/. This focusses on the attainment gap between poorer pupils and their ...
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f statistic for multiple multivariate regression?

I've not seen an example of multiple multivariate regression use an F statistic, is it still valid here? (Would the f stat follow the f distribution under the null hypothesis?) detail Given n paired ...
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Aggregating T-statistics and F-statistics across monthly cross-sectional regressions

I am trying to replicate the results in Table V of the paper Individualism and Momentum around the World (2010) by Chui et al. This is attached herewith. Dataset: Dependent variable: Monthly returns ...
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Suitability of an F test for proportion data?

I'm reading a paper where the authors have 3 related time series based on proportion data. They test for a change in these proportions by using an F test and state that this allows them to check ...
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Converting Chi square to F-values

I am running Type II sum of squares tests on my linear models using the Anova() function. I prefer Type II over Type III due to its hierarchical nature. With this function, however, I am only getting ...
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F-statistic Two stage least squares (2SLS) regression

In Wooldridge's advanced book, on page 105, the F-statistic for 2SLS regression is introduced. Let me illustrate the computation step by step with the following concrete example: \begin{equation} \...
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F-statistic for classification, two ways to calculate the numerator; are they the same?

This question on F-scores for classification problems (specifically for classification; f_classif) has two answers. Each answer shows a different way to calculate F-...
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ANOVA: testing homogeneity of variance via D’Agostino- Pearson test?

I would be grateful for a cross-check on my understanding of the criteria for valid ANOVA analysis. The orthodoxy I've always used is the Hartley’s Fmax test, if that fails ANOVA is simply no-go. The ...
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What makes a good control variable?

I am currently studying whether academic freedom (independent variable) has an impact on university rankings (dependent variable). So far, my model is only composed of these two variables, as well as ...
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Why am I seeing a low F-statistic, but a very significant p-value in permanova?

So I am having some numbers which I can't understand...basically I am performing a permanova test using the adonis2 function, from the vegan package, and what I see ...
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Why would an instrumental variable have its strength measured by an F-statistic?

A typical "rule of thumb" for instrumental variables is that an F-statistic of ten or higher indicates a strong instrument. This is mentioned in this Cross Validated post, which contains a ...
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Power analysis of a chunk test

I set up following chunk test in R: restricted Model <- DV ~ IV1 unrestricted Model <- DV ~ IV1 + IV2 + IV3 anova(restricted Model, unrestricted Model) ...
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How to calculate F-statistic given only coefficient, standard errors and confidence intervals in R [closed]

My output is a table of coefficients, together with standard errors and 90 % confidence intervals, nothing else. I miss the degrees of freedom but I do have the number of observations. How can I ...
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Comparison between regression outputs to transformed and untransformed data

I want to investigate whether the values of ten dependent variables (collected in a monthly resolution) are influenced by time (in years), and, for this, I intend to perform ten linear regressions, ...
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Degrees of freedom of Sample Variance of Residuals (Chi-Square distribution?

In the context of jointly testing J linear restrictions, I am reviewing the distribution of the F-statistic, which is F(J, n-k). Below, R is a full row rank Jxk matrix, q is a Jx1 vector, and the null ...
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Overly strong IV?

I heard that a too high F-statistic in the first stage of an instrumental variable regression can also be bad because it means that the IV is highly correlated with other endogenous variables. Does ...
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F statistic for regression equation

I was searching for some public material on F-static for multiple regression equation and come across with this link https://www.statisticshowto.com/probability-and-statistics/f-statistic-value-test/#:...
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Unusally high F value ANOVA

I am running a one-way ANOVA to compare a numeric continuous variable between four groups, and getting a very high F-value. Below are the descriptives and code I used in R (I get similar values when ...
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Is a huge F-statistic OK?

I ran a multivariate regression model in R and got an overall F-statistic of 3,525.690 and three stars attached to it. This seems to be quite good from a statistical point of view. However, should I ...
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Help me find (ok, calculate/approx/uncover) the p-value in the following tables

For a meta-analysis I am looking for the p-values in these tables derived from reports dating back to 1980... I am, by now, pretty sure I can't but maybe there is someone smarter than me here... If ...
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What could cause the F-statistic to increase but adjusted $R^2$ to decrease?

I have created two multiple linear models of the same data. The two models vary only in the dropping of a few variables. Model_A includes all X independent vars (A,B,C,D): Model_B includes only A,B ...
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In f- statistic :Why do we multiply the Sum of squares with the sample size?

In the f statistic formula In the numerator, why do we multiply the sum of squares with the sample size?! Scenic we are interested only in the variation of sample means from the grand mean.
Ahmed abo-alata's user avatar
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1 answer
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Finding F-statistics in R [closed]

Original model: ln(chnimpt) = β0 + β1 ln(chempit) + β2 ln(gast) + β3 ln(rtwext) + β4bef ile6t + β5aff ile6t + β6af dec6t + ut Problem Set: Add monthly dummy ...
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How to interpret a significant F-statistic but low R-squared?

I have never seen it, but using a dataset of 10k observations, a simple linear regression resulted in a significant F-statistic (over all variables), but a low R-squared. I interpret it as that the ...
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Granger Causality and F statistic

I am trying to educate myself in Granger Causality reading the classic literature. From what I have understood the idea is quite simple: first, to test if $X_t$ Granger causes $Y_t$ we define two ...
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What is a test statistic? [duplicate]

Quick question: Are test statistics like the "F" and "t-statistic" the number of standard deviations on an F and t-distribution, respectively? For example, if I got a "t" ...
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Using an APA format, how do I report an F-statistic with a value of 2.67e+30?

I am doing a statistical report on a regression model and my F-statistic is 2.67e+30. The values of my dependent and independent variables are expressed in dollars.
Camille Orpilla's user avatar
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Conceptual/Math/brainteaser Question: Multiple Linear Regression

This is kind of a brainteaser and I'm struggling to solve it, any ideas on approaching this would be valued: I thought about using substitution of the different x and z into the third regression ...
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Reconciling F-statistic derived in two different ways

Background: in the full-rank model let $\mathbf{b}$ be a $p\times 1$ matrix of independent standard normal random variables and $\mathbf{X}$ a $n\times p$ matrix where $\mathbf{y} = \mathbf{Xb} + \...
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Will ranking "correlation" of variables by Pearson's return the same results as chi-square and F stats?

Generally speaking my understanding and experience is that when I have some target variable and want to see which other variables best correlate with it (for instance to build a predictive model), ...
Josh's user avatar
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9 votes
2 answers
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Why is the F-Statistic $\approx$ 1 when the null hypothesis is true?

I'm currently reading through the section on linear regression in ISLR, and the authors use the F-Statistic to determine if we should reject the null hypothesis (well they use the p-value of the F-...
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Do I need F-statistic and t-statistic for regression if I have the p-value?

I am running a simple linear regression, and was wondering whether I need to use the F-statistic and t-statistic to: prove the significance of my results run a two-tailed hypothesis test on the ...
Munir Malik's user avatar
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1 answer
2k views

f_regression in sklearn - how is a correlation converted into an F score?

From the following link: https://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.f_regression.html#sklearn.feature_selection.f_regression There's: This is done in 2 steps: The ...
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Interpretation of F-statistics in a linear mixed model

I was reading a paper yeaterday, and in their results they reported an F-score for each of their fixed effects in a linear mixed effect model. Here, lux is a catagorical variable, but the rest are ...
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2 votes
2 answers
2k views

What does it mean if I have a high F-stat but low $R^2$?

As far as I understand, a high F-stat leads to a high $R^2$, though the converse is not true. What does it mean if I have a high F-stat and a low $R^2$?
pythonuser's user avatar
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Which F statistic is generated in felm (R) and why does it differ from STATA (ivreghdfe)

I'm running 2sls and making sure that my results replicate in both stata and r. In r, using felm, my code is: ...
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Looking for the name of a distribution and/or a way to calculate its cumulative distribution function

For parameters $\nu_1$, $\nu_2$, $\lambda$, define random variables using a chi-squared distribution and a non-central chi-squared distribution: $$ S \sim \chi^2_{\nu_2} / \nu_2 $$ $$ F \sim \frac{\...
Paul Harrison's user avatar
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How to Properly Interpret the Hypotheses/Results of a Permutation Test Based on the Test Statistic?

I asked a question recently: Is This an Appropriate Application of a Permutation Test?. All information about my data, the permutation test and the results can be found there, but here is a quick ...
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5 votes
1 answer
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Is this an Appropriate Application of a Permutation Test?

Suppose I have count data between three groups, each with a different number of observations: $n_1 = 11, n_2 = 6$ and $n_3 = 5$. My data is listed below: \begin{array} {|r|r|}\hline group 1 & ...
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Which ANOVA function use is correct in R

So, I am just a beginner in statistics and RStudio, and I still do not understand fully the full purpose of F-tests (beside hypothesis testing) and I recently started using anova() function from R ...
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Why is the use of the F-Statistic / p-value as a criteria in Stepwise Model Selection outdated? [duplicate]

I am coming from the field of psychology and in most publications Model Selection (OLS, Regression) is done via Forward/Backward Selection using the F-Static/p-value of the regression coefficients to ...
platypus's user avatar
1 vote
1 answer
335 views

How do R-squared and p(F-statistic) impact the fitness of a linear regression model?

Given below the attached summary statistics of a linear regression model. Noting that Adjusted R-square is only 15% but p(F-statistic) is very low (almost equal to zero): Can it be said that it is a ...
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What is the difference between the Pseudo F Index and the F Statistic?

I'm wondering what the difference between the Pseudo F Index and the F Statistic is. The Pseudo F Index is used in clustering analysis as an index to determine the the right number of clusters in a ...
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Proof that a model has a higher $R^2$ if F > 1

I need to prove that a model has a higher adjusted $R^2$ than another model if the F-statistic is greater than 1. Below is as far as I've gotten, but I'm not even sure if that's correct. $$R^2_{adj} ...
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Multitaper F statistics

I'm having some problems interpreting the F-statistics output from multitaper analysis. To illustrate, the following code-snip in R performs multitaper analysis on the same sine-frequency but with ...
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