F test to test equality of variance

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KateK
Posts: 7
Joined: Mon Apr 14, 2014 2:39 pm

F test to test equality of variance

Postby KateK » Sun Jun 15, 2014 8:56 pm

Hi,

I have a single time series which will be divided on the date of the policy change before and after.
I want to compare the variances between the two time sections and I am told to do an F test of residual sum of squares.
How do I construct the F stat?
Do I run ARMA and get the residual sum of squares of the two time sections and get an F stat of the ratio of the two residual sum of squares?
Or do I do simple F test of the equality of variance of data in each of the two time sections?
Thanks a lot.

sugamkc
Posts: 1
Joined: Sun Jun 15, 2014 11:50 pm

Re: F test to test equality of variance

Postby sugamkc » Mon Jun 16, 2014 1:18 am

Use Chow Test to know structural breakthrough


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