Anova Problem

Discussion in 'P1.T2. Quantitative Methods (20%)' started by sipanivishal, Oct 30, 2008.

  1. sipanivishal

    sipanivishal Manager-Corporate Banking

    Hi David,

    http://www.bionicturtle.com/learn/article/anova_table_practice_question_par_4_difficulty/
    I just looked at this problem and actually am amazed at the problem itself.F stats is used in multiple regression for testing whether both B2 and B3 are jointly 0 or not.The question appeared to be for bivariate.With df for ESS = 1 no of independent variable is two.Can F test be used for that too.....to check jointly if B1 and B2 are 0 or not.If this is the case then in multiple regression case what does a F test do.....CHecking jointly B1 B2 B3 = 0 or just B2 B3 = 0.

    Thanks
    Sipani
     
  2. David Harper CFA FRM

    David Harper CFA FRM David Harper CFA FRM (test)

    Hi Sipani,

    Amazed good/bad?

    Yes, I realize the F is reviewed in multivariate regression; I don't see a problem with applying it to the bivariate case. Here, the null is simply H0: R^2 = 0.

    The F variable stills works: [ESS/1 df]/[RSS/(n-2)].

    "Can F test be used for that too.....to check jointly if B1 and B2 are 0 or not"
    Yes, that's is main job, to check JOINTLY if the PARAMETERS (not the variables!) are significant. Yes, that would be my two word summary of F: "joint param" check. My question here merely treats the bivariate as a special case of the multivariate. I don't think it's a problem...

    David
     
  3. sipanivishal

    sipanivishal Manager-Corporate Banking

    Hi David,

    Surprised as if a new experience....and obviously new out of box questions are very good.Thanks for this wonderful explanation

    Thanks
    SIpani
     
  4. David Harper CFA FRM

    David Harper CFA FRM David Harper CFA FRM (test)

    great, thanks, i will return to your prior question(s) but i need to spend all long day on the cram sessions, so asap on those. thanks, David
     

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