Questions tagged [f-test]

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

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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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85 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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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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628 views

Matrices F and c for F test?

In $\mathcal{F}$ test, the hypotheses involve multiple regression coefficients with the $\mathcal{F}_{0}$ test statistic: \begin{equation} z_{j} = \beta_{0} + \beta_{1} x_{1} + \beta_{2} x_{2} + ... + ...
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259 views

A proper use of the Cragg-Donald F-Statistic with more than one endogenous variable

I've read that the Cragg-Donald F-Statistic is similar to an F-test on the first-stage OLS regression when you have one endogenous variable. But with more than two endogenous variables, you should use ...
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58 views

Description of how the variance in `Y` changes with the discrete variable `X`?

Let Y be a continuous response variable and X be a discrete explanatory variable. I am interested in developing a statistical ...
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598 views

How to report confidence intervals for an interaction?

I have a significant interaction in a repeated measures ANOVA. Two groups in my data are significantly different from one another. In order to report the overall confidence intervals, when I report ...
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136 views

Regression: finding p-value and F

I'm working on stats homework, and I've come across a problem I cannot figure out. It's a multi-part problem, and I've correctly answered a number of the questions, but there are a few that are not ...
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390 views

General linear hypothesis testing in repeated-measures multivariate linear model

In a multivariate linear model $Y = XB + U$, where within-subject (or repeated-measures) factors are coded as simultaneous response variables in $Y$, a general linear hypothesis can be formulated as ...
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1k views

Question about Hausman-test for endogeneity with two endogenous regressors with potential heteroscedasticity

First question: Is the following example of computing the Hausman-test for endogeneity with two endogenous regressors adequate? Second question: Is it true that in case of heteroscedasticity, i.e. I'...
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134 views

Fisher's criterion distribution

My task is to show that Fisher's criterion distribution when the null hypothesis is true follows $F(k-m,N-k)$ when df increases. Here $k-m$ is number of restriction. So I can write a null hypothesis ...
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23 views

R-squared unbiased when F-test is biased in heteroscedasticity?

If R2 and F-statistic are in functional relationship, is it possible, that in case of heteroscedasticity F-test is biased but R-squared is not?
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25 views

When the linear term of a variable is insignificant, is it reasonable to use an F-test to state that they are jointly statistically significant?

I am running a multiple regression that takes the following simplified form (there are other variables not important to this question): $$Y_{it}=\beta_0+\beta_{1}X_{it}+\beta_{2}X_{it}^2+u_{it}$$ $Y_{...
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13 views

Do we use Sequential Sum of Squares or Adjusted Sum of Squares for Partial F test in Regression?

I would appreciate a detailed answer. Thank you.
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15 views

Testing joint-significance - no SSR

I am doing some revision for an exam in Econometrics...and I think I should possibly repeat as I am stumped on a past exam paper question, making we wonder if I learnt anything. It gives an equation ...
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12 views

Comparing means in bins of different sample sizes

Suppose I have the following 2 plots showing the mean of a variable on a 2-d spatial grid, as well as the occurrence histogram (see bottom). Is there a specific way to compare these means, even ...
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60 views

How do I compare the predictive power of two predictors within a single (logistic) regression?

I've read about how F-tests can be used to compare models and to decide whether an additional variable should be included in the regression. However, I want to test whether A vs. B are better ...
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32 views

In the F test, is a two-sided test mainly used?

I have a question about the F test. In R language, three parameters "two.side", "less" and "greater" can be specified as arguments of var.test (). However, I can not specify a one-sided test like "...
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11 views

F test, Model selection test

How to compare which of the following two models is a better fit: M1 $y$ = $\alpha$$X$ + $\epsilon$ M2 $ln(y)$ = $\alpha$$X$ + $\epsilon$ Can we run a test statistic to compare the two models? ...
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30 views

Permutation F test for nested models

How can I do a permutation F test for testing if a larger model which contains a larger model is better? e.g. Model 1 : y ~ x1 + x2 Model 2 : ...
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133 views

What is the difference between the residual, lack of fit and pure error In F test for Regression Analysis?

What is the difference between the residual, lack of fit and pure error and how to calculate each of them in ANOVA F test for nonlinear regression?
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38 views

How should one compute the p-values of a two sided F test?

I have been studying this link. However, i can't really figure out how to calculate the p value for a 2 sided F test where the degrees of freedom are different and the F distribution is asymmetric. I ...
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160 views

What is the point in reporting the z statistic of a z-test?

In my field some authors report the z statistic of a z-test in a generalised linear model and others do not. Does reporting the z statistic serve any purpose if the p value of a z-test or of a post-...
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10 views

Can I mix and match F-test and T-test code when I implement a program for some statistical calculations?

I was told to rewrite an old java program that performs some statistical calculations. I was able to solve most of the problems until I ran into this one: The program compares two sets of data over ...
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55 views

Why do dummy regressors decrease sensitivity in linear regression?

For linear regression analysis, I thought that the addition of covariates which are not related to the dependent variable $Y$ does not decrease sensitivity. Such random/dummy regressors can be ...
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25 views

Deriving the F-test from ${{SSE_R-SSE_F}\over{(n-q)-(n-p)}}/{{SSE_F}\over{n-p}}$

Given a Full and Reduced model, the F-test to see if the reduced model is significant is given by $$ {{SSE_R-SSE_F}\over{(n-q)-(n-p)}}/{{SSE_F}\over{n-p}} $$ I'm trying to understand how this is ...
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33 views

what we consider the significance if the F calculated value equal to F tabulated?

if for example, we define the significant level at P<0.05 and the F calculated was equal to F tabulated. now the question is does we consider it significant or not? I did not find a refrence answer
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66 views

Can you perform an inverse F-test on two datasets with the same degrees of freedom?

Stats newbie here. Is there any meaning to the critical F value if the two samples have the same degrees of freedom? For example, I have 2 sets of data, each with the same number of degrees of ...
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377 views

Generalized additive model: low F-test?

I am confused about the F-test value in the smoothing terms of a GAM model. ...
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1answer
50 views

What technique to use for Hypothesis Testing Difference of Two means - Whole Population and a Cluster inside the Population

I have N individuals with M features. I call the mean of the N individuals on each M feature a "Grand Mean" For example, on feature F1, I call it "Grand Mean of F1". Now, If I have K clusters INSIDE ...
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94 views

ANOVA: compares means among 3 models or linear vs simpler model?

So I'm super confused. Looking online for example:here or here or here or in any other website I could find ANOVA is " used to determine whether there are any statistically significant differences ...
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151 views

Mincer-Zarnowitz: High Wald statistic, although intercept near 0 and slope near 1?

I have regressed the following points with OLS the intercept is -0,085 while the slope is 1,008. So highly dependent. So far so good. The t-statistics for the intercept are -2,84 and 27,87 for the ...
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1answer
74 views

How to test the significance level of two out-of sample regressions with the MSE-F

Is there anyone who is experienced in applying the MSE-F (F-test, McCracken, 2007)? There are two different values to search for the critical value: $k_2$ and $\pi$. I was told that $k_2$ equals ...
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106 views

Testing that all Intercepts of Different Regressions are Zero

I have individually regressed the excess returns of 10 US stocks on excess market returns. Each have provided me with different $\alpha$'s. I want to test whether these are all jointly equal to ...
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51 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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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
40 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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220 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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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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578 views

Stata: Test if fixed effects are needed

In Stata, what is the command I should use to test if fixed effects are needed in my panel data regression? The output to test for redundant fixed effects should be Cross-section F-Test Cross-...
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838 views

lm and nls F test in R

I am trying to compare a linear model and other non linear models(Asymptotic, Logistic and Ricker) by means of an F test or a likelihood ratio test. I have tried anova(Linear, Logistic,Ricker, ...
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127 views

postestimation test

I have run two regression models. one is GLM with logit link and Binomial family and the other is tobit regression. I want to compare the coefficient of some of my independent variables in each model. ...
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3k views

F-test: Testing unrestricted model vs. restricted model in Gretl and SPSS

I have a proposed a model for Corporate Social Responsibility determinants (not important). Among my independent variables I obtain two that are statistically not significant. Following Wooldridge ...
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1answer
46 views

T-test on indicator for a group of betas vs. F-test on the same group

If I estimate the following regression on a large data set: $y = b_0x_0 + b_1x_1 + b_2x_2 + b_3x_3 + b_4x_4$ where $x_0, x_1,...x_4$ are all dummy variables indicating group membership, and I create ...
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282 views

Homogenity of Variances - F-test and Levene Test yield different results - which one to trust?

I want to perform a t-test on two independent samples with each n = 50. to check the assumptions, I ran an F-test for homogenity, which is significant. then I used SPSS which does a levene test by ...
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331 views

How come we can't conduct t-test and f-test in MLE?

Isn't the equation derived using MLE a regression? Doesn't that allow for t and f test? Please help, thanks.
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Is the F test for R² in (multiple) Regression one- or two-tailed?

I have been wondering about the F test that is provided by many statistical packages along with the standard regression output. As I understand it, F can be computed by $$ F_{df_{reg},df_{res}} = \...