F-Stat or Chi Squared?
Posted: Tue Feb 18, 2020 7:13 pm
(I am using e-views for this question).
When testing for serial correlation, heteroskedasticity and the wald test during a VECM or VAR or ARDL, I have the option to use either the F-stat or Chi-squared to test for significance.
My data is annual, with 36 observations (1980-2015).
Which test is more appropriate for my number of observations? The F-stat or Chi-squared?
Why?
Can you provide any literature to support your answer?
I have examples of using Chi-squared (with LM test) within the following videos with a small sample size (10)
https://www.youtube.com/watch?v=sZ-J_KM9TvQ
https://www.youtube.com/watch?v=LKgP6A9mO44
Thank you
When testing for serial correlation, heteroskedasticity and the wald test during a VECM or VAR or ARDL, I have the option to use either the F-stat or Chi-squared to test for significance.
My data is annual, with 36 observations (1980-2015).
Which test is more appropriate for my number of observations? The F-stat or Chi-squared?
Why?
Can you provide any literature to support your answer?
I have examples of using Chi-squared (with LM test) within the following videos with a small sample size (10)
https://www.youtube.com/watch?v=sZ-J_KM9TvQ
https://www.youtube.com/watch?v=LKgP6A9mO44
Thank you