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I had a daily series and converted it to lower frequency (quarterly), contraction method: variance. Now I have a quarterly series of variances and need to compare with another quarterly variance series, which is the benchmark. I need to use a F test, but I cant find a way for that. Help, please!
Thank you!
F Test for 2 series of variances
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Re: F Test for 2 series of variances
hi there
u can select both groups and right click open as a group and then view ttest and choose variance......i guess this will give u Ftest result and ttest result for mean difference.
u can select both groups and right click open as a group and then view ttest and choose variance......i guess this will give u Ftest result and ttest result for mean difference.
Re: F Test for 2 series of variances
Thank you, but this is not what I need.
I calculated the quarterly variances (for two series of exchange rates). I want to compare a certain quarter variance of series x with the corresponding quarter variance of series y: for example var (x) and var (y) for 2005Q2.
Well it's easy to generate the the ratio of the 2 series (samples), var(x)/var(y). Then I need to compare the ratio with a cuantile of the F distribution (5%). The variances were calculated with slightly different d.f.'s (because in each quarter there are different holidays for each series of exchange rates).
I could simply look in the F distribution table, but isn't there any solution for automating the calculation?
Group of variables i use: varqx, varqy, dfqx, dfqy,
where varq are the quarterly variances for the x and the y, and de dfq are the degrees of freedom for the x and the y of each quarter.
Thank you again!
I calculated the quarterly variances (for two series of exchange rates). I want to compare a certain quarter variance of series x with the corresponding quarter variance of series y: for example var (x) and var (y) for 2005Q2.
Well it's easy to generate the the ratio of the 2 series (samples), var(x)/var(y). Then I need to compare the ratio with a cuantile of the F distribution (5%). The variances were calculated with slightly different d.f.'s (because in each quarter there are different holidays for each series of exchange rates).
I could simply look in the F distribution table, but isn't there any solution for automating the calculation?
Group of variables i use: varqx, varqy, dfqx, dfqy,
where varq are the quarterly variances for the x and the y, and de dfq are the degrees of freedom for the x and the y of each quarter.
Thank you again!
Re: F Test for 2 series of variances
Well, after a few days of thinking and struggeling with the Eviews documentation and other manuals, I found the solution. I hope will not be spending so much time for every problem I encounter in Eviews.
Here is the solution: I used functions and (simple) programing
@fdist (x,v1,v2), retuns the pvalue for the value x of the teststatistic and the V1 (numerator d.f.) and V2 (denominator d.f.)
Then it's easy to compare the value obtained with the F statistic calculated and to conclude about rejecting or accepting H0.
N.B: there's also the @qfdist(p,v1,v2), that returns the quantile for p=0.05 (e.g.), and v1, v2 d.f.'s
The program:
vector (47) res_ftest
for !i = 1 to 47
res_ftest(!i)=@fdist(fs(!i),nobseu(!i)1,nobser(!i)1)
next
N.B: fs is calculated as the varx/vary
Here is the solution: I used functions and (simple) programing
@fdist (x,v1,v2), retuns the pvalue for the value x of the teststatistic and the V1 (numerator d.f.) and V2 (denominator d.f.)
Then it's easy to compare the value obtained with the F statistic calculated and to conclude about rejecting or accepting H0.
N.B: there's also the @qfdist(p,v1,v2), that returns the quantile for p=0.05 (e.g.), and v1, v2 d.f.'s
The program:
vector (47) res_ftest
for !i = 1 to 47
res_ftest(!i)=@fdist(fs(!i),nobseu(!i)1,nobser(!i)1)
next
N.B: fs is calculated as the varx/vary
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