Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: one tailed F statistics from TEST

From   "Yulia Marchenko" <[email protected]>
To   <[email protected]>
Subject   st: RE: one tailed F statistics from TEST
Date   Tue, 31 Aug 2004 11:26:41 -0500

On Tuesday, John wrote:

>Dear all,
>I want to compare the difference between two coefficients from a linear
>regression. The STATA command TEST gives me a F statistic from a Wald test.
>If I have a direction prediction of the two coefficients, can I convert the
>p-vlaue from the F statistics from two tailed to one tailed, despite the F
>distribution is not symmetric? Or I have to convert the F into a t
>statistics? Thanks.

Since your null hypothesis has only one restriction, i.e. difference between
two coefficients, the F-statistic has one degree of freedom for numerator.
In this case it is a squared t-statistic. Thus, you can obtained the p-value
for one-sided test using this relationship and the symmetry of the

 pval=P(F_1,m > F)=P((t_m)^2 > F)=P(|t_m|>sqrt(F))=2*P(t_m>sqrt(F))

 P-value for the H1: beta1-beta2>0 is P(t_m>sqrt(F))=pval/2 where pval is
what you obtained from F-test.

 P-value for the corresponding lower one-sided test of H1: beta1-beta2<0 is

The support of F-distribution has positive values so the probability of
getting a negative value is zero. But the difference can be negative.
Therefore, using t-statistic seems quite reasonable.

[email protected]

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index