Error in Notes and Video related to F Statistic?

[brian.field]

David,

I noticed that the denominator in the heteroskedacticity F-statistic is 1 - rho^2 in the reference text but you indicate that it is 1 - 2*rho in both your notes and in your video.

Which expression is correct?

Thanks.

Brian

 

[David Harper CFA FRM]

Hi @brianhfield

I admit we've neglected that AIM, it looks like our text is incorrect. F-stat with q=2 should be:
\(F=\frac{1}{2}\left( \frac{t_{1}^{2}+t_{2}^{2}-2{{{\hat{\rho }}}_{{{t}_{1}},{{t}_{2}}}}{{t}_{1}}{{t}_{2}}}{1-{{{\hat{\rho }}}^{2}}_{{{t}_{1}},{{t}_{2}}}} \right)\)

Thanks for your attention to detail. Tagged for revision,

 

[brian.field]

Thanks!