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Modelling factors of Student test statistics dispersion in a multiple linear regression

Author

Listed:
  • Florin-Marius PAVELESCU

    (Institute of National Economy – Romanian Academy)

Abstract

One of the main objectives of this paper is to show that some algebraical properties of the Student test statistics demonstrated in F.M. Pavelescu (2014) and the use of a proposed new indicator – Synthesis of the Transformed Form of Student Test statistics - for the case of linear regressions with three explanatory are valid for the general case of linear regressions with n explanatory variables. Also, we propose a re-grouping of the modeling factors of Transformed Form Student Test statistics, which is in line with the ideas of Glauber and Ferrar (1967) on the definition of collinearity and of Belsey (1991) on the impact of collinearity on Student Test Statistics. In this context, the methodology proposed permits the identification of modeling factors contribution to the dispersion of Transformed Form of Student statistics. At the end of the paper a numerical example is presented in order to show that algebraical properties of the Student test statistics demonstrated in case of a linear regression with three explanatory variables are true also when the number of explanatory variables is higher than three. The respective numerical example is also an opportunity for a practical use of the proposed factorial analysis methodology of the dispersion of the Transformed Form of the Student Test statistics.

Suggested Citation

  • Florin-Marius PAVELESCU, 2015. "Modelling factors of Student test statistics dispersion in a multiple linear regression," Romanian Journal of Economics, Institute of National Economy, vol. 41(2(50)), pages 25-41, december.
    • Handle: RePEc:ine:journl:v:41:y:2015:a:50:p:26-41
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    References listed on IDEAS

    as
    1. Pavelescu, Florin Marius, 2009. "A Review Of Student Test Properties In Condition Of Multifactorial Linear Regression," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(1), pages 63-75, March.
    2. Pavelescu, Florin Marius, 2012. "Interdendenta dintre tipul de colinearitate si valorile calculate ale testului Student in cazul unei regresii lineare cu doua variabile explicative," Working Papers of Macroeconomic Modelling Seminar 122502, Institute for Economic Forecasting.
    3. Florin-Marius PAVELESCU, 2014. "An Extension Of The Methodology Of Using The Student Test In Case Of A Linear Regression With Three Explanatory Variables," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 89-106, June.
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    More about this item

    Keywords

    Transformed Form of Student Test statistics; factorial analysis; reference value; adjusted multiplier; coefficient of collinear refraction;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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