Page 10 - FINAL CFA II SLIDES JUNE 2019 DAY 3

READING 8: MULTIPLE REGRESSION AND ISSUES IN REGRESSION ANALYSIS
LOS 8.g: Calculate and interpret the F-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 explain a significant portion of the variation of the dependent variable?).

Given 4 independent variables:

Note that F-test is
always a 1TT

NOTE: F-statistic is compared with the 1TT critical F-value, F , at the appropriate SL:
c

Rejection of Ho means?

• At least one of the independent variables in the
regression model is significantly different from zero;

• That is, at least one makes a significant contribution
to the explanation of the dependent variable.