F test to test equality of variance
Posted: 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.
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.