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

Florin Pavelescu

Romanian Journal of Economics, 2015, vol. 41, issue 2(50), 25-41

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.

Keywords: Transformed Form of Student Test statistics; factorial analysis; reference value; adjusted multiplier; coefficient of collinear refraction (search for similar items in EconPapers)
JEL-codes: C13 C20 C51 C52 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ine:journl:v:41:y:2015:a:50:p:26-41

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