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Questions tagged [f-test]

Any hypothesis test in which the statistic has an F distribution under the null hypothesis.

12
votes
3answers
49k views

Why do we use a one-tailed test F-test in analysis of variance (ANOVA)?

Can you give the reason for using a one tailed test in the analysis of variance test? Why do we use a one-tail test - the F-test - in ANOVA?
6
votes
3answers
28k views

Prove F test is equal to T test squared

I need to show that F test is equal to T test squared, when the T test is for 2 independent groups and assuming variances are equal. I know that $F=\frac{MSB}{MSW}=\frac{SSB/k-1}{SSW/N-K}$ and I know ...
3
votes
1answer
8k views

Not-significant F but a significant coefficient in multiple linear regression

I have a regression with two continuous predictors and one dichotomous predictor in Model 1 and two interactions of each of the continuous predictors with the dichotomous predictor in Model 2. The ...
4
votes
3answers
854 views

Does the p-value in the incremental F-test determine how many trials I expect to get correct?

I've implemented an incremental F-test program that evaluates the fit of an unrestricted model $M_{UR}$ against the restricted model $M_R$ using the F statistic $\frac{SSE_{R} - SSE_{UR}}{SSE_{UR}}\...
1
vote
2answers
66k views

How do I interpret the results from the F-test in excel

I have a fairly simple question regarding the interpretation of the F-test in Microsoft Excel. Let't say these are the results of my F-test: I am now wondering how to interpret it in order to choose ...
7
votes
2answers
2k views

AR(q) model with F-test

I am wondering that if we have an AR($q$) model for time series: $$X_i=\beta_1X_{i-1}+..+\beta_{p}X_{i-p} + \beta_{p+1} X_{i-p-1} +...+\beta_{q} X_{i-q}+\epsilon_i,\epsilon_i \;\text{iid}\; N(0,\...
4
votes
2answers
859 views

One-tailed F-test with one restriction

I have a regression, e.g. $Y=a+b_1X_1+b_2X_2+c_1Z_1+c_2Z_2+e$. Is it possible test the one-tailed null $b_1+b_2\leqslant c_1+c_2$ against the alternative $b_1+b_2>c_1+c_2$? Notice that this is an $...
5
votes
1answer
2k views

What is an F test?

What is an F test and what does it show? Also what is an alpha, and how do I evaluate the p-value?
3
votes
1answer
6k views

Effect of sample size in F-test?

Having worked hard to understand the t-test, I'm rapidly falling out of love with it. All that is required in the t-test to gain significance is increase sample size, which renders it close to ...
7
votes
2answers
15k views

How to interpret the confidence interval of a variance F-test using R?

I'm trying to understand the confidence interval returned by the function var.test() in R. More specifically, the confidence interval returned by var.test() is not the one I find when doing the ...
1
vote
2answers
1k views

Difference between F-test and separate t tests on each variable?

Why can't we separately test each variable(using t-test), whether or not it is equal to 0? Why should we use the F-test for checking if all coefficients combined are equal to 0?
3
votes
1answer
2k views

F test for equality of variances

I know that the test statistic is $$F=S_1^2/S_2^2 $$ But I am looking at some example questions from my lecturer and some have confused me. For example: For a certain game, individual game scores ...
2
votes
0answers
2k views

F test and categorical variables

I am trying to compute a regression. I have a continuous dependent variable (investment in millions of dollars) One continuous independent variables Five dichotomous indicators (1 / 0) Four ...
0
votes
2answers
14k views

How to read off 0.975 alpha value in F table

$F<(1-\alpha/2, n_x-1, n_y-1)$ and $F>(\alpha/2, n_x-1, n_y-1)$. (Testing equality of population variances). An alpha of $0.0$5 is used. $1-\alpha/2= 1-0.05/2= 1-0.025= 0.975$. However, there ...
13
votes
2answers
14k views

Difference between selecting features based on “F regression” and based on $R^2$ values?

Is comparing features using F-regression the same as correlating features with the label individually and observing the $R^2$ value? I have often seen my ...
7
votes
1answer
890 views

Big difference between a t-test and a F-test in a mixed model (anova vs summary in lmerTest)

While helping someone else with their analyses, I've run into a question regarding the difference between t-tests and F-tests for linear mixed models in lme4 for R, as provided by lmerTest. I'm aware ...
3
votes
3answers
61k views

How to get F-test p-value

Suppose we can choose from two different catalysers. 10 observations are taken from the first one and 12 from the other one. If $s_1 = 14$ and $s_2 = 28$, can we reject at $\alpha = 5\%$ the ...
7
votes
2answers
1k views

“One-tailed” Levene Test

F-tests can be two-tailed (to test that $s_1^2 \ne s_2^2$) or one-tailed (to test that $s_1^2 > s_2^2$). How can I modify Levene/Brown-Forsythe to be "one-tailed", that is, to test $s_1^2 > s_2^...
5
votes
0answers
564 views

F-test to determine whether more than two sets of data differ

Here is the context for my question: I understand that you can fit the same model to two different datasets separately and then fit the model to the datasets pooled together as a way to discern ...
3
votes
1answer
6k views

Adjusted $R^2$ & F test are not shown in regression with robust standard errors in Stata

The adjusted $R^2$ is not shown when a regression with robust standard errors is calculated in Stata. This is surprising to me since the value of the $R^2$ is unaffected in regressions with robust ...
2
votes
1answer
2k views

If the f-test is insignificant but coefficients are significant, can I use it?

If the linear regression's f-test is insignificant but its coefficients are significant in t-test, can I use this regression and its coefficients? In academic journals, I find people use linear ...
1
vote
0answers
78 views

One-tailed $F$-test with multiple restrictions

I have a regression, say $Y=a+bX_1+cX_2+e$. I know how to do the standard $F$-test for $b=c=0$. However, in my case, both coefficients $b$ and $c$ should be positive. So is there a way to test if $b&...
5
votes
3answers
6k views

Calculating the $p$-value of an $F$- statistic

I am trying to implement an algorithm for calculating $p$-values of $F$-tests and I need this method to be highly precise. It is easy to implement this with $z$- or $t$- tables, however I don't know ...
3
votes
1answer
734 views

Why are different answers obtained for a regression F-test when using SSE and R2 formulas?

I cannot understand what I'm doing wrong with an F-test for the regression - I get completely different answers using SSE and R2 formulas. Unrestricted model: Restricted model: 1 restriction is ...
2
votes
1answer
1k views

$F$-test for hypothesis $\beta_1+\beta_2=2\beta_3$ in a regression

In a regression $y = \beta_0 + \beta_1 x_1 + \beta_2 x_2 + \beta_3 x_3 + \epsilon$, how do I use an $F$-test to test the hypothesis $\beta_1+\beta_2=2\beta_3$? The standard $F$-test would test a ...
1
vote
1answer
459 views

How to check for linear constraints of coefficients in logistic regression in R?

I have a logistic regression model with several variables. I want to test the hypothesis of, say $a \beta_i = b \beta_j$ for constants $a,b$. I know that this can be theoretically done with an $F$-...
1
vote
1answer
260 views

How can I have a significant overall F-test but any significant P values for the individual coefficients? Graphical intuition, please?

From http://blog.minitab.com/blog/adventures-in-statistics/what-is-the-f-test-of-overall-significance-in-regression-analysis: Typically, if you don't have any significant P values for the ...