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


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: significance of the variables based on t-test or f-test
Date   Thu, 30 Aug 2012 09:09:08 +0200

The main conclusion is that you cannot reject the hypothesis that
screening intensity is neither linearly nor quadraticly related to
risk adjusted performance.

I would look at a scatter plot of performance against screening
intensity and look if you can see any anomolies. If that does not
work, than you'll just have to live with the fact that your data tells
you that the two are unrelated.

-- Maarten

On Wed, Aug 29, 2012 at 6:59 PM, László Németh wrote:
> 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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-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------

*
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


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