FRM Part I · FRM Exam Part I · Regression with Multiple Explanatory Variables
In a multiple regression, the t-statistic for testing that a single slope coefficient equals zero is 2.40. An F-test is then run on the same single restriction (one restriction, same model and data). What F-statistic should be obtained?
The F-statistic is 5.76. When a joint test involves only one restriction, F equals the square of the t-statistic, so 2.40 squared gives 5.76. The two tests give identical conclusions in this case.
- A2.40
- B1.55
- C5.76Correct
- D11.52
Explanation
With a single restriction (q = 1), the F-statistic equals the square of the t-statistic: 2.40^2 = 5.76. Reporting 2.40 confuses the two statistics. The square root of 2.40 is 1.55, which is the wrong direction. Doubling the square (11.52) has no basis.
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