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post/understanding-the-f-statistic/ #3

Open utterances-bot opened 1 year ago

utterances-bot commented 1 year ago

Understanding the F Statistic | econometrics.blog

The F-statistic for a test of multiple linear restrictions is a staple of introductory econometrics courses. In the simplest case, it can be written as [F \equiv \frac{(SSRr - SSR{u})/q}{SSR_{u} / (n - k - 1)}] where (SSRr) is the restricted sum of squared residuals, (SSR{u}) is the unrestricted sum of squared residuals, (q) is the number of restrictions, and ((n - k - 1)) is the degrees of freedom of the unrestricted model.

https://www.econometrics.blog/post/understanding-the-f-statistic/

zilunlin commented 1 year ago

Great article, love the connections that it draws between seemingly unrelated things! Alas, was very excited to see someone finally explain what a 'degrees of freedom correction' is all about -- are there any resources that you can point me to?

fditraglia commented 1 year ago

Glad you liked the post! A good place to start if you want to learn more about the idea of "degrees of freedom" is this old lecture of mine and the associated R source code.