Which of these statements is true?
(I) The F-distribution has 2 degrees of freedom parameters
(II) Asymptotically, the LM test and the Wald test are equivalent
(III) The results from the LM and Wald tests may differ somewhat in small samples
(IV) The F-distribution is a special case of the t-distribution
A) I only
B) I and II
C) I, II and III
D) I, II, III and IV

Question

Quizplus · Accepted Answer

The F-distribution indeed has two degrees of freedom parameters, one for the numerator and one for the denominator. The LM (Lagrange Multiplier) and Wald tests are asymptotically equivalent, meaning they tend to give similar results as the sample size grows large. However, in small samples, the results from these tests may differ due to the finite sample properties of the estimators. The F-distribution is not a special case of the t-distribution; rather, the t-distribution is a special case of the F-distribution.

Which of These Statements Is True