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st: significance of the variables based on t-test or f-test


From   László Németh <pitlak6@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: significance of the variables based on t-test or f-test
Date   Wed, 29 Aug 2012 18:59:25 +0200

Dear Statalist Users,

I would like to analyze the relationship between the risk-adjusted
performance (DV) and the screening intensity of the SRI funds (IV). In
the first model I assume a linear relationship between these two
variables:
y = B0 + B1*xi+ui
The t-statistic of screening intensity is here 0.84

Then I use a second model, where I add the square of screening
intensity (Xi2) as a second independent variable: y=B0 +
B1*xi+B2*xi2+ui
The t-statistic of Xi is 2.02, whereas the t-statistic of Xi2 -2.17
is. Based on this results I assume that there is a quadratic
relationship between the risk-adjusted performance and the screening
intensity of the funds. However, if I run an F-test with the two
independent variables I got a p-value of 0.1008.

Now, I am not sure how I should interpret these results. Based on the
t-statistic, I think that there is a quadratic relationship, but the
results of the F-test make me uncertain. That is why I would like to
ask for your help in the interpretation of these results.
Thank you very much in advance for your help.

Best Regards,
Laszlo
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