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Multivariable regression (t-stat)
Im trying to run a multivariable regression using excel,
and was wondering what the t-stat variable represents. How do I use it to know if that certain variable's coefficient is statistically significant? I read on some website that i have to compare it with (n- k), but Im not sure how to compare it. Thanks for the help. |
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Multivariable regression (t-stat)
I assume that you are are using the Regression tool in the Analysis ToolPak.
For each coefficient, you get the estimate and the standard error of that estimate (also given by LINEST with the stats argument set to TRUE). The t statistic is the ratio of the estimate (est) divided by the standard error (se). This provides a test of whether the model coefficient is actually zero. To test whether the model coefficient is equal to some other pre-specified hypothesized value (hv), use t = (est-hv)/se The p-value is calculated by TDIST(ABS(t),df,2) is the probability of getting a t-statistic at least as extreme as was observed with your data, if the hypothesized value (zero by default) were known to be true. If that p-value is too small (often considered to be 0.05, but that value is not set in stone) then the corresponding coefficient is considered "statistically significant". The logic, is that you choose to believe that the hypothesized value is wrong, rather than believing that you have seen something unusual. The ATP Regression tool also gives confidence intervals for the coefficients, which may be more informative than a simple significance test. The confidence interval indicates how much uncertainty is associated with the estimate. If the 95% confidence interval for a coefficient includes zero, then that coefficient is statistically significantly different from zero at the 0.05 level (p-value =0.05) This is a once over lightly of some concepts that are easily abused. You would be well served to take a class or at least read a text on statistics before assuming that you know much. Jerry wrote: Im trying to run a multivariable regression using excel, and was wondering what the t-stat variable represents. How do I use it to know if that certain variable's coefficient is statistically significant? I read on some website that i have to compare it with (n- k), but Im not sure how to compare it. Thanks for the help. |
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