Page 34 - FINAL CFA II SLIDES JUNE 2019 DAY 2

LOS 8.g: Calculate and interpret the F- READING 8: MULTIPLE REGRESSION AND ISSUES IN REGRESSION ANALYSIS
statistic, and describe how it is used in
regression analysis. MODULE 8.3: ANOVA AND THE F-TEST

THE F-STATISTIC

An F-test assesses how well the set of independent variables, as a group, explains the variation in the dependent variable. (Does
at least one of the independent variables explains a significant portion of the variation of the dependent variable?).

For example, given 4 independent variables, our hypotheses is:

NOTE: F-statistic is compared with the one-tailed critical F-value, F , at the appropriate level of significance.
c

Rejection of Ho (at given SL) indicates that at least one of the
coefficients is significantly different than zero! Meaning?

At least one of the independent variables in the regression model
makes a significant contribution to the explanation of the dependent
variable.