Re: Ecotrix plz help

Posted by happy on Jun 15, 2017; 12:50am
URL: http://discussion-forum.276.s1.nabble.com/Ecotrix-plz-help-tp7605603p7605610.html

No we can't use F Statistics given in the question, because by default statistical package calculate F statistics under null hypothesis that slope coefficient is equal to 0. But we want to test it is statistically different from 1.

This doesn't mean we can't use F test, we can use f test but we need to transform the model.

rit = a + 1*rmt + u

rit - rmt = a + u

r* = a + u  (Restricted model)

calculate RSS for the restricted model and unrestricted model, and then calculate F statistics.

But we can't do this with given amount of information.