Questions tagged [f-test]

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

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1answer
273 views

Why does anova F-test give different results for a categorical variable added as factor and as continuous?

I'm comparing the addition of a variable in my linear model using R and "anova F-test": anova(fit1,fit2) What I noticed is that this F-test produces different ...
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47 views

Does the F-Test (var.test in R) assume independence of observations?

I've looked online but I can't seem to find an answer. Basically I'm comparing data from two groups, disease and control, and from each induvidual there's two observations. I want to compare the ...
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65 views

How to modify the f-test null hypothesis in ANOVA

Normally the null hypothesis for a f-test in ANOVA is $H_0:\mu_1=\mu_2=...=\mu_m$ for a comparison of $m$ groups. How do I alter the f-statistic so that the null hypothesis is $H_0:\mu_1=\mu_2=...=\...
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1answer
129 views

Comparing p-values from lm() and anova()

When I compare the p-values from summary of lm() models and anova(), for one dataset I get the same p-values, while for another dataset they are different. ...
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0answers
500 views

Double clustered standard errors and degrees of freedom in Wald-style F test for joint significance of regression coefficients with panel data

In panel regression, the Wald-style F test for joint significance of the regression coefficients is usually done with an adjustment for the degrees of freedom when robust/clustered standard errors are ...
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1answer
75 views

Testing whether a seasonal dip in a time series this year is abnormal compared to previous years

Let's say I have sales data for each month of the year for the last few years. Sales tend to dip in the summer, and I want to determine if the dip this year (or for a given month) is abnormal. ...
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16 views

How can I compare the variability of ADC values at three different time points?

I've measured ADC values of liver and spleen in 50 patients, and these patients underwent three rounds of DWI at different time points (so there's total of 150 ADC values measured each for liver and ...
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121 views

How to compare the variance of two time series?

I would like to answer whether two time series have the same variance. Initially, I used an F test to compare the two series variation. However, the two series appear to be skewed which would violate ...
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1answer
32 views

Interpresting R^2 and F-test of data with different variances

I have results where the sum of squared errors are very similar (SSE=Sum(y_Est-y)^2) but the corresponding R^2 are very different as are the F-test results. The coefficient of determination can be ...
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85 views

How to test that a categorical factor doesn't have an effect?

I have two categorical values in an normal linear model and the mean value specification is that they both have an effect but there is no interaction. In R, this was modelled as lm(x~ A + B). I ...
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1answer
145 views

F test or T test for a regression model

I am reviewing some lecture material and I was wondering if there was a typo in the material. I believe the material is trying to show the effect of multicollinearity on the independent variables in a ...
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2answers
4k views

Why is F-test so sensitive for the assumption of normality?

Why is the F-test for difference in variance so sensitive to the assumption of normal distribution, even for large $N$? I have tried to search the web and visited the library, but none of it gave any ...
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16 views

Difference between expected spending and spending observed. What kind of statistical analysis should I apply?

I would like some advice from you about what kind of statistical analysis I could do about that data. My case is as follows: According to a research I have the information that the financial health ...
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1answer
1k views

Breusch–Godfrey test under heteroskedasticity

Do I need to account for heteroskedasticity when performing the (vector) AR1-2 test? The Autocorrelation (AR) 1-2 test is defined as follows - often referred to as the Breusch–Godfrey test (Wiki link)...
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127 views

Confused about F-contrast and F-test in statistical software

Let's say I have an estimated parameter $\beta$ from a general linear model for 2 subject groups (with the $\beta$s corresponding to their means). If I wanted to do a two sample t test in a ...
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1answer
450 views

Does the F-test for multivariable regression work with non-normal residuals but large sample size?

Suppose I am building a multiple regression model, perhaps with 5 explanatory variables. Suppose the residuals are not normally distributed (based on a Q-Q plot and a D'Agostino test, due to kurtosis)....
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2answers
15k 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 ...
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84 views

How is two-sample ANOVA the same as two-sample t-test?

When testing the differences between the means of two groups, I'm aware that one can use the ANOVA test, and/or the ...
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1answer
849 views

Using F-test for (generalised) linear models

I am working with regression on a data set and I am looking for a way to compare the results. From the data ($x$) and observed values ($y$) where $y\in[0, 1]$, I have three models: 1 (baseline): ...
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1answer
55 views

Transforming models and conducting hypothesis tests

The population relationship between $y$ and $x_1, x_2, x_3$ is \begin{equation} y_t=\beta_0+\beta_1x_{1t}+\beta_{2}x_{2t}+\beta_3x_{3t}+\epsilon_{t} \end{equation} with $\epsilon_t\sim N(0,1)$. The ...
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1answer
25 views

Doing an F test, only sample size, means, and stdev given

I've attempted to Google this problem to no avail. This is a homework question. There are 2 groups. For each, the sample size, sample mean, sample standard deviation is given. Raw data isn't provided....
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1answer
168 views

How can I prove that the f-statistic does not follow an F distribution in the context of step-wise regression?

There is a good number of threads about the deficiencies of step-wise regression, and particularly on the shortcomings of the partial F test as a tool for step selection. However I find it difficult ...
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36 views

Why do chi-squared and F statistic formulas involve $s^2$ not $s^2/n$?

Could someone please clarify why in Chi-squared and F-statistic calculation formulas sample variances are used as $s^2$ and not $s^2/n$ (like in Z or t tests)? $\chi^2 = \frac{(n-1)s^2}{\sigma^2} $ ...
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96 views

Interpreting numerator of an F-statistic

"the numerator expresses a measure of squared distance standardized by the covariance matrix" That is the author's interpretation on page 97 in Introduction to Linear Regression Analysis by ...
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1answer
114 views

What is the restricted equation of a test including three variables?

What is the restricted equation of a test including three variables? On gretl i've been try to test manually by f test $$ y_t = B_1 + B_2x_2 + B_3x_3 + B_4x_4 + e_i$$ That $$H_0: B_2 + B_3 = B_4 $...
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2answers
899 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 $...
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79 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&...
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42 views

Deriving the F-test for a complex comparison

I would like to clarify a passage from Maxwell & Delaney, Ch.4 Extension in which the authors explain how to perform an F-test for a complex comparison. In what follows, the coefficients $c_j$ ...
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1answer
332 views

Multivariate Bayesian Testing with an F-test

In Bayesian statistics a standard way to perform a Lindley significance test for the hypothesis $\theta=\theta_0$, where $\theta_0$ is the suggested value for $\theta$ at the $\alpha$ level of ...
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1answer
747 views

Interpreting var.test results in R

I am trying to learn F test and on performing the inbuilt var.test() in R, I obtained the following result with ...
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1answer
39 views

Finding value of f statistic to test for difference between treatment means given the following table

Im not really good with statistics and cant really find a way to answer this question. Finding value of f statistic to test for difference between treatment means given the following table.
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1answer
859 views

Testing for Partial Structural Break in R

I want to test for a partial unknown structural break in a time series. By this I mean that I want to test $H_0: \beta_{1} = \beta_{2}$ such that $Y_t = \beta_{0}^{'}X_t + \beta_{1}^{'}Z_t(t<T) + \...
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1answer
105 views

What is a basic f-test actually telling me?

When I do an F test(think of an F test you'd learn about in a first year stats paper) I get a ratio of variance between/variance within. I understand what the indivudual components are i.e the ...
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67 views

When is non-normality severe enough to warrant using different tests?

I've been doing quite a bit of reading on the topic of non-normality, and how it pertains to the F-test. My understanding is that non-normality tests aren't very useful, as outlined in the arguments ...
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214 views

Comparing regression coefficients using F-test to assess for batch effects

Here's what I have: two datasets with ~27,000 variables (same variables for each dataset). I'm trying to test whether or not dataset1 and dataset2 display batch effects. Namely, I want to do PCA and ...
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3answers
462 views

The F-test is a test for variance so why do we use F-test in ANOVA? [duplicate]

To test the mean vector we use ANOVA, and to test two variances we use the F-test, but my question is in ANOVA why we do use the F-test ?
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209 views

Can F-Test be used for arbitrary nested non-linear model selection

Suppose I have data consisting of pairs $(x_i,y_i)$. To this I want to fit a function $\hat{y}_i=f(x_i;a_1,\ldots,a_n)$, where $a_j$ are parameters. The functions nest in the sense that setting the $n^...
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2answers
2k views

Goodness of fit. How to evaluate if polynomial of order n+1 gives statistically better fit than polynomial of order n?

I fit polynomials with increasing order to some data. What is the best way to evaluate if the additional parameter of polynomial of order n+1 provides a statistically significant better fit than the ...
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0answers
519 views

How would I determine statistical significance for ad impressions?

I'm programatically adding keywords to bid on. Some keywords will trigger ads and impressions, and some impressions will trigger clicks. Clicks / impressions = CTR (click-through-rate). Clicks cost. ...
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1answer
591 views

How should I treat F test if one of variances is equal 0?

I have two groups with 20 elements in each. In one group variance is equal 0. I want to do f-test. Can I? And how should I interpret results (in this case)?
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68 views

Intuitive treatment of math for F-test in multiple regression

Can anyone point to an online explanation of why the F-test works for multiple regression? I found tons online, but I am looking for the sometimes contradictory requirement of the explanation being ...
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1answer
11k views

F-test of joint significance vs multiple t-test for regression parameters? [duplicate]

In the context of linear regression, I don't understand why you need to perform an F-test for the H0 that all parameters are zero, instead of just looking at all the t-tests for each parameter. I ...
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0answers
1k views

model comparison: chi2 vs. AIC (and BIC)

I've been using the approach from Appendix A from this paper. It states that if I have two fits with $\chi^2$ values $\chi^2_1(\nu_1)$ and $\chi^2_2(\nu_2)$ ($\nu$ - degree of freedom), then their ...
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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?
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1answer
247 views

Significant omnibus f-test but planned comparison testing showing no evidence of effect

i'm testing the relationship between four age groups of teachers on their perceived level of job security. I've run an omnibus f-test on some data, 240 subjects- no examples of any skewness, and it ...
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1answer
5k views

Is F test used for feature selection only for features with numerical and continuous domain?

The F-statistic/test can be used for feature selection, e.g. from http://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.f_classif.html#sklearn.feature_selection.f_classif ANOVA ...
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3k views

How to perform F-test significance testing in Matlab?

I have two quantities in Matlab say T1 (1x44100 array) and T2 (1x44100 array). I have calculated their ratio ...
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2answers
806 views

F-Test for Equality of Variances with Weighted Survey Data

I would like to use an F-Test for Equality of Variances on a variable to compare two groups. Normally, this would be done with an sdtest command in Stata or a ...
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0answers
573 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 ...
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1answer
77 views

Powering a study to show differences in variance, e.g. in R?

I'm hoping to do a study to calculate whether 1 method of measurement is more variable than another in a subgroup of patients. I assume this will be done with an F-test, from some reading? However, ...