Significance
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| What are the three f tests? | 1) Simple (overall fit of single regression)
2) Wald (irrelevant variable test)
3) Chow (tests for structural differences – compares beta hat's of regressors)
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| What does the f-value measure? | Measures the significance of the overall fit of the regression (R2)
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| What three items are needed to calculate critical f-value? | 1) Degrees of freedom for numerator = number of independent variables?
2) Degrees of freedom for denominator = ?
3) Significance level (generally 5% or 1%)?
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| What does the Simple F-test tell you? | 1) Used to test the significance of the overall fit of a single regression model.
2) Ratio of what you’re explaining (ESS) to what you’re not (RSS), controlled for degrees of freedom.
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| What does the Wald F-test used for? | Used to determine the impact of adding an additional variable (helps eliminate variables that do not meet a certain level of significance).
GOOD FOR TESTING FOR IRRELEVANT VARIABLES
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| What is the Chow F-test used for? | 1) Used to test for structural changes in a regression model – ie: beta hats of regressors differ between time periods or across locations.
2) Null always assumes no structural changes.
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Created by:
kristel387
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