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


From   László Németh <pitlak6@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: significance of the variables based on t-test or f-test
Date   Fri, 31 Aug 2012 06:55:25 +0200

Dear Maarten,

thank you very much for your answer.

Best regards,
László

2012/8/30 Maarten Buis <maartenlbuis@gmail.com>:
> 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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