Granger-causality tests
Granger-causality tests
Granger-causality tests
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Tools (Continued)<br />
F – <strong>tests</strong> (F distribution)<br />
• Used in analysis of variance to test the Null hypothesis that 2<br />
components estimate the same variance against the alternative<br />
that the numerator estimates a greater variance, the latter<br />
indicating a high “F-value”.<br />
• May also be used to test the acceptability that 2 samples are from<br />
normal distributions with the same variance<br />
• i.e. the ratio of explained variance vs. unexplained variance, OR<br />
between group variability vs. within group variability<br />
Variance ratio<br />
• The ratio of 2 estimates of variance with degrees<br />
of freedom f 1<br />
and f 2<br />
.<br />
• If they both estimate the same variance the ratio will<br />
have a F-distribution with said degrees of freedom.
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