STOCKHOLM UNIVERSITY

Department of Statistics

Michael Carlson, Bo Wallentin

och Emma Pettersson
2019-02-01

Financial Statistics

Formula Sheet and Probability

Distribution Tables

Return after examination

DESCRIPTIVE STATISTICS

1 ∑𝑛𝑖=1(𝑥𝑖 − 𝑥̅ )2 ∑𝑛𝑖=1 𝑥𝑖2 − 𝑛𝑥̅ 2

Mean value: 𝑥̅ = 𝑛 ∑𝑛𝑖=1 𝑥𝑖 Variance: 𝑠𝑥2 = =
𝑛−1 𝑛−1
1 ∑𝑁
𝑖=1(𝑥𝑖 − 𝜇)
2 ∑𝑁 2
𝑖=1 𝑥𝑖 − 𝑁𝜇
2
𝜇 = 𝑁 ∑𝑁
𝑖=1 𝑥𝑖 𝜎𝑥2 = =
𝑁 𝑁
∑𝑛𝑖=1(𝑥𝑖 − 𝑥̅ )(𝑦𝑖 − 𝑦̅) ∑𝑛𝑖=1 𝑥𝑖 𝑦𝑖 − 𝑛𝑥̅ 𝑦̅
Covariance: 𝑠𝑥𝑦 = 𝐶𝑜𝑣(𝑥, 𝑦) = =
𝑛−1 𝑛−1
𝑠𝑥𝑦 𝑠𝑥𝑦
Correlation: 𝑟𝑥𝑦 = 𝐶𝑜𝑟𝑟(𝑥, 𝑦) = =
𝑠𝑥 ∙ 𝑠𝑦 √𝑠𝑥2 ∙ 𝑠𝑦2

RANDOM VARIABLES

Let 𝑋 and 𝑌 be two discrete random variables.

Expected value of X: 𝜇𝑋 = 𝐸(𝑋) = ∑ 𝑥𝑃(𝑥)

𝑎𝑙𝑙 𝑥

Variance of X:

σ𝑋2 = 𝑉𝑎𝑟(𝑋) = 𝐸(𝑋 2 ) − 𝜇𝑋2 = ∑ 𝑥 2 𝑃(𝑥) − 𝜇𝑋2 = ∑ (𝑥 − 𝜇𝑋 )2 𝑃(𝑥)

𝑎𝑙𝑙 𝑥 𝑎𝑙𝑙 𝑥

Covariance between X and Y:

𝜎𝑋𝑌 = 𝐶𝑜𝑣(𝑋, 𝑌) = 𝐸(𝑋𝑌) − 𝜇𝑋 𝜇𝑌 = ∑ ∑ 𝑥𝑦𝑃(𝑥, 𝑦) − 𝜇𝑋 𝜇𝑌

𝑎𝑙𝑙 𝑥 𝑎𝑙𝑙 𝑦

Correlation between X and Y:

𝐶𝑜𝑣(𝑋, 𝑌)
𝜌𝑋𝑌 = 𝐶𝑜𝑟𝑟(𝑋, 𝑌) =
√𝑉𝑎𝑟(𝑋) ∙ 𝑉𝑎𝑟(𝑌)

Two discrete r.v 𝑋 and 𝑌 with joint probability distribution 𝑃(𝑥, 𝑦) = 𝑃(𝑋 = 𝑥 ∩ 𝑌 = 𝑦):

𝑃(𝑥) = ∑ 𝑃(𝑥, 𝑦) 𝑃(𝑦) = ∑ 𝑃(𝑥, 𝑦)

𝑎𝑙𝑙 𝑦 𝑎𝑙𝑙 𝑥

𝑃(𝑥, 𝑦) 𝑃(𝑥, 𝑦)
𝑃(𝑥|𝑦) = 𝑃(𝑦|𝑥) =
𝑃(𝑦) 𝑃(𝑥)

𝑋 and 𝑌 independent ⇔ 𝑃(𝑋|𝑌) = 𝑃(𝑋) ⇔ 𝑃(𝑥, 𝑦) = 𝑃(𝑥) ∙ 𝑃(𝑦)

STANDARDIZING

𝑋−𝜇𝑋
Standardizing: 𝑍 = ⇒ 𝜇𝑍 = 𝐸(𝑍) = 0 and 𝜎𝑍2 = 𝑉𝑎𝑟(𝑍) = 1
𝜎𝑋

2
LINEAR TRANSFORMATIONS AND COMBINATIONS

Assume that 𝑎, 𝑏, 𝑐 are constants and that 𝑋, 𝑌 and 𝑍 are random variables:
𝐸(𝑐) = 𝑐 𝑉𝑎𝑟(𝑐) = 0
𝐸(𝑋 + 𝑐) = 𝐸(𝑋) + 𝑐 𝑉𝑎𝑟(𝑋 + 𝑐) = 𝑉𝑎𝑟(𝑋)
𝐸(𝑎𝑋) = 𝑎𝐸(𝑋) 𝑉𝑎𝑟(𝑎𝑋) = 𝑎2 𝑉𝑎𝑟(𝑋)
𝐸(𝑎𝑋 + 𝑐) = 𝑎𝐸(𝑋) + 𝑐 𝑉𝑎𝑟(𝑎𝑋 + 𝑐) = 𝑎2 𝑉𝑎𝑟(𝑋)

𝐸(𝑎𝑋 + 𝑏𝑌 + 𝑐) = 𝑎𝐸(𝑋) + 𝑏𝐸(𝑌) + 𝑐 𝑉𝑎𝑟(𝑎𝑋 + 𝑏𝑌 + 𝑐)

= 𝑎2 𝑉𝑎𝑟(𝑋) + 𝑏 2 𝑉𝑎𝑟(𝑌) + 2𝑎𝑏𝐶𝑜𝑣(𝑋, 𝑌)

If a + b =1 the variance is minimized for:

𝑉𝑎𝑟(𝑌) − 𝐶𝑜𝑣(𝑋, 𝑌)
𝑎=
𝑉𝑎𝑟(𝑋) + 𝑉𝑎𝑟(𝑌) − 2𝐶𝑜𝑣(𝑋, 𝑌)

𝐶𝑜𝑣(𝑎𝑋 + 𝑏𝑌 + 𝑐, 𝑍)
𝐶𝑜𝑣(𝑋, 𝑌) = 𝐶𝑜𝑣(𝑌, 𝑋)
= 𝑎𝐶𝑜𝑣(𝑋, 𝑍) + 𝑏𝐶𝑜𝑣(𝑌, 𝑍)

SOME DISTRIBTUTIONS

𝑛
Binomial: 𝑓(𝑥) = ( ) 𝑃 𝑥 (1 − 𝑃)𝑛−𝑥 , 𝑥 = 0, 1, 2, … , 𝑛 and 0 < 𝑃 < 1
𝑥
𝑛!
where (𝑛𝑥) = 𝑥!(𝑛−𝑥)! and 𝑛! = 𝑛 ∙ (𝑛 − 1) ∙ ⋯ ∙ 2 ∙ 1

𝜇𝑋 = 𝐸(𝑋) = 𝑛𝑃 𝜎𝑋2 = 𝑉𝑎𝑟(𝑋) = 𝑛𝑃(1 − 𝑃)

Normal: 𝜇𝑋 = 𝐸(𝑋) 𝜎𝑋2 = 𝑉𝑎𝑟(𝑋)

𝑋 − 𝜇𝑋
If 𝑋~𝑁(𝜇𝑋 , 𝜎𝑋2 ) ⇒ 𝑍 = ~𝑁(0,1)
𝜎𝑋

SIMPLE LINEAR REGRESSION

Mode
𝑌𝑖 = 𝛽0 + 𝛽1 𝑥𝑖 + 𝜀1 Conditional mean of 𝑌 given 𝑋 = 𝑥: 𝜇𝑌|𝑋=𝑥 = 𝛽0 + 𝛽1 𝑥
l:

Prediction and estimated model: 𝑦̂𝑖 = 𝜇̂ 𝑌|𝑋=𝑥𝑖 = 𝑏0 + 𝑏1 𝑥𝑖 Residual: 𝑒𝑖 = 𝑦𝑖 − 𝑦̂𝑖

𝐶𝑜𝑣(𝑥, 𝑦) 𝑠𝑦
where 𝑏1 = 2
= 𝑟𝑥𝑦 ∙ 𝑏0 = 𝑦̅ − 𝑏1 𝑥̅
𝑠𝑥 𝑠𝑥

𝑠𝑒2 𝑠𝑒2 1 𝑥̅ 2
𝑠𝑏21 = = 𝑠𝑏20 = 𝑠𝑒2 ( + )
(𝑛 − 1)𝑠𝑥2 ∑𝑛𝑖=1(𝑥𝑖 − 𝑥̅ )2 𝑛 (𝑛 − 1)𝑠𝑥2
continued next page
3
SIMPLE LINEAR REGRESSION (continued)

1 (𝑥 − 𝑥̅ )2
Confidence interval for 𝜇𝑌|𝑥 given 𝑋 = 𝑥: 𝑦̂𝑖 ± 𝑡𝑛−2,𝛼/2 ∙ √𝑠𝑒2 ( + )
𝑛 (𝑛 − 1)𝑠𝑥2

1 (𝑥 − 𝑥̅ )2
Prediction interval for 𝑦̂𝑖 given 𝑋 = 𝑥 𝜇̂ 𝑌|𝑋=𝑥 ± 𝑡𝑛−2,𝛼/2 ∙ √𝑠𝑒2 (1 + + )
𝑛 (𝑛 − 1)𝑠𝑥2

SIMPLE AND MULTIPLE LINEAR REGRESSION (𝑲 = 𝟏 for simple regression)

𝑏𝑗 − 𝛽𝑗∗
Inference for 𝛽𝑗 : 𝑏𝑗 ± 𝑡𝑛−𝐾−1;𝛼/2 ∙ 𝑠𝑏𝑗 𝑡𝑛−𝐾−1 = for 𝑗 = 1, … , 𝐾
𝑠𝑏𝑗

Residual ∑𝑛𝑖=1 𝑒𝑖2 ∑𝑛𝑖=1(𝑦𝑖 − 𝑦̂𝑖 )2 𝑆𝑆𝐸

𝑠𝑒2 = = = = 𝑀𝑆𝐸
variance: 𝑛−𝐾−1 𝑛−𝐾−1 𝑛−𝐾−1

Sum of squares: 𝑆𝑆𝑇 = ∑𝑛𝑖=1(𝑦𝑖 − 𝑦̅)2 = (𝑛 − 1)𝑠𝑦2 𝑆𝑆𝑅 = ∑𝑛𝑖=1(𝑦̂𝑖 − 𝑦̅)2

𝑆𝑆𝐸 = ∑𝑛𝑖=1(𝑦𝑖 − 𝑦̂𝑖 )2 = ∑𝑛𝑖=1 𝑒𝑖2 𝑆𝑆𝑇 = 𝑆𝑆𝑅 + 𝑆𝑆𝐸

Coefficient of 𝑆𝑆𝑅 𝑆𝑆𝐸 𝑆𝑆𝐸/(𝑛 − 𝐾 − 1)

𝑅2 = = 1− 𝑅̅ 2 = 𝑅adj
2
=1−
determination: 𝑆𝑆𝑇 𝑆𝑆𝑇 𝑆𝑆𝑇/(𝑛 − 1)

Test for whole 𝐻0 : 𝛽1 = ⋯ = 𝛽𝐾 = 0 𝑆𝑆𝑅/𝐾 𝑀𝑆𝑅

𝐹= =
model: 𝐻1 : at least one 𝛽𝑗 ≠ 0 𝑆𝑆𝐸/(𝑛 − 𝐾 − 1) 𝑀𝑆𝐸

TEST FOR LINEAR RESTRICTIONS ON 𝜷-PARAMETERS IN A REGRESSION MODEL

E.g. 𝐻0 let be a group of parameters that are jointly equal to zero: 𝐻0 : 𝛽1 = ⋯ = 𝛽𝑅 = 0

(𝑆𝑆𝐸(𝑅)−𝑆𝑆𝐸𝑙𝑎𝑟𝑔𝑒 )/𝑅
Test variable: 𝐹 = 2 ~𝐹𝑅,(𝑛−𝑘𝑙𝑎𝑟𝑔𝑒 −1)
𝑠𝑒,𝑙𝑎𝑟𝑔𝑒

where ’𝑙𝑎𝑟𝑔𝑒’ denotes the model without restrictions and 𝑅 is the number of restrictions
(i.e. no. of parameters equal to zero) under 𝐻0 .
Rejection region: 𝐻0 is rejected if 𝐹𝑜𝑏𝑠 > 𝐹𝑅,𝑛−𝑘𝑙𝑎𝑟𝑔𝑒 −1; 𝛼

4
NON-LINEAR MODELS

Polynomials
E.g. polynomial of degree 2: 𝑦 = 𝛽0 + 𝛽1 𝑥1 + 𝛽2 𝑥12 + 𝜀

Exponential relationships
Model: 𝑦 = 𝛽0 𝛽1𝑥 or ln 𝑦 = ln 𝛽0 + (ln 𝛽1 )𝑥 + 𝜀

Estimate: ̂𝑦 = ln 𝑏0 + (ln 𝑏1 )𝑥
𝑦̂ = 𝑏0 𝑏1𝑥 or ln

Use the formulas from simple linear regression to calculate ln 𝑏0 and ln 𝑏1

Log-linear models
Model: 𝛽 𝛽 𝛽
𝑦 = 𝛽0 ∙ 𝑥1 1 ∙ 𝑥2 2 ∙ … ∙ 𝑥𝑘 𝑘 ∙ 𝑒 𝜀

ln 𝑦 = ln 𝛽0 + 𝛽1 ln 𝑥1 + 𝛽2 ln 𝑥2 + ⋯ + 𝛽𝑘 ln 𝑥𝑘 + 𝜀

Estimate: 𝑏 𝑏 𝑏
𝑦̂ = 𝑏0 ∙ 𝑥1 1 ∙ 𝑥2 2 ∙ … ∙ 𝑥𝑘 𝑘

ln 𝑦̂ = ln 𝑏0 + 𝑏1 ln 𝑥1 + 𝑏2 ln 𝑥2 + ⋯ + 𝑏𝑘 ln 𝑥𝑘

MULTICOLLINEARITY

VIF (Variance Inflation Factor) measures the degree to which the estimated variance of
parameter estimates is affected by multicollinearity in the model.
1
𝑉𝐼𝐹𝑗 for the estimated variance of 𝑏𝑗 is given by: 𝑉𝐼𝐹𝑗 =
1 − 𝑅𝑗2

where 𝑅𝑗2 is the coefficient of determination from the model which regresses 𝑥𝑗 on the
remaining explanatory variables.

Rule of thumb: there is a ‘problem’ with multicollinearity if 𝑉𝐼𝐹 > 10

HETEROSCEDASTICTY - Breusch-Pagan 𝒏𝑹𝟐 test

Hypotheses: 𝐻0 : Homoscedistic error term vs 𝐻1 : Heteroscedastic error term

Using the residuals 𝑒𝑖 and the estimated value 𝑦̂𝑖 from your fitted model, perform a new
regression where the squared error term 𝑒𝑖2 is the dependent variable and the
estimated value 𝑦̂𝑖 is the independent variable, and calculate 𝑅 2 .

If 𝐻0 is true, 𝑛𝑅 2 from the new regression model is approximately 𝜒 2 -distributed with

one degree of freedom.

5
DURBIN-WATSON 𝒅-TEST FOR FIRST ORDER POSITIVE AUTOCORRELATION

First order autoregressive model: 𝜀𝑡 = 𝜌𝜀𝑡−1 + 𝑢𝑡

Hypotheses: 𝐻0 : 𝜌 = 0 vs 𝐻𝐴 : 𝜌 > 0
∑𝑛𝑡=2(𝑒𝑡 − 𝑒𝑡−1 )2
Durbin-Watson statistic: 𝑑= ≈ 2(1 − 𝑟𝑒,𝑒𝑡−1 )
∑𝑛𝑡=1 𝑒𝑡2

Rejection rules: reject 𝐻0 if 𝑑 < 𝑑𝐿

do not reject 𝐻0 if 𝑑 > 𝑑𝑈

test inconclusive if 𝑑𝐿 < 𝑑 < 𝑑𝑈

RUNS TEST FOR RANDOMNESS

Let 𝑅 be the number of ‘runs’. For a random series:

𝑛 𝑛(𝑛 − 2)
𝐸(𝑅) = +1 and 𝑉𝑎𝑟(𝑅) =
2 4(𝑛 − 1)
For large 𝑛, 𝑅 is approximately normally distributed.

JARQUE-BERA TEST FOR NORMALITY

If a variable is normally distributed then

̂ − 3)2
̂ 2 (𝐾𝑢
𝑆𝑘
𝐽𝐵 = 𝑛 [ + ]
6 24

is approximately 𝜒 2 distributed with two degrees of freedom.

𝑆𝑘 = Skewness, 𝐾𝑢 =kurtosis.

LOGISTIC REGRESSION

1 𝑃(𝑌=1)
Model: 𝑃(𝑌 = 1) = ⇔ ln (1−𝑃(𝑌=1)) = 𝛽0 + 𝛽1 𝑥1 + ⋯ + 𝛽𝑘 𝑥𝑘
1+ 𝑒 −(𝛽0 +𝛽1 𝑥1+⋯+𝛽𝑘𝑥𝑘)

Odds: 𝑒 𝛽𝑗
𝑏𝑗 − 𝛽𝐽;𝐻0
Hypothesis testing: 𝑍= ~𝑁(0,1)
𝑠𝑏𝑗

𝑏𝑗 ±𝑧𝛼/2 𝑠𝑏𝑗
Confidence interval for 𝛽𝐽 : 𝑏𝑗 ± 𝑧𝛼/2 𝑠𝑏𝑗 Confidence interval for 𝑒 𝛽𝐽 : 𝑒

6
TIME SERIES

Components

Additive model: 𝑋𝑡 = 𝑇𝑡 + 𝑆𝑡 + 𝐶𝑡 + 𝐸𝑡 Multiplicative model: 𝑋𝑡 = 𝑇𝑡 ∙ 𝑆𝑡 ∙ 𝐶𝑡 ∙ 𝐸𝑡

where 𝑇 = trend, 𝑆 = seasonal, 𝐶 = cyclical and 𝐸 = random component

Estimation of the trend component with regression analysis – see regression

section and use time as an explanatory variable (𝑡 = 𝑥)
Estimation of the trend component using centered moving averages, examples:
1 1 1
2-point: 𝑥𝑡∗ = ∗ 𝑥𝑡−1 + ∗ 𝑥𝑡 + ∗ 𝑥𝑡+1
4 2 4
1 1 1
3-point: 𝑥𝑡∗ = ∗ 𝑥𝑡−1 + ∗ 𝑥𝑡 + ∗ 𝑥𝑡+1
3 3 3
1 1 1 1 1
4-point: 𝑥𝑡∗ = ∙ 𝑥𝑡−2 + ∙ 𝑥𝑡−1 + ∙ 𝑥𝑡 + 𝑥𝑡+1 + ∙ 𝑥𝑡+2
8 4 4 4 8
1 1 1 1 1
5-point: 𝑥𝑡∗ = ∗ 𝑥𝑡−2 + ∗ 𝑥𝑡−1 + ∗ 𝑥𝑡 + ∗ 𝑥𝑡+1 + ∗ 𝑥𝑡+2
5 5 5 5 5
1 1 1 1
12-point: 𝑥𝑡∗ = ∗ 𝑥𝑡−6 + ∗ 𝑥𝑡−5 + ⋯ + ∗ 𝑥𝑡+5 + ∗𝑥
24 12 12 24 𝑡+6

Extraction of the seasonal component from moving averages:

Additive model: For a given season take the average of all 𝑥𝑡 − 𝑥𝑡∗ . Adjust the seasonal
component so that the sum is zero. This gives 𝑆̂.
Multiplicative model: For a given season, take the average of all 𝑥𝑡 /𝑥𝑡∗ . Adjust the
seasonal component so that the average is one. This gives 𝑆̂.

Seasonal adjustment:
Additive model: 𝑥𝑡 − 𝑆̂ Multiplicative model: 𝑥𝑡 /𝑆̂

REGRESSION MODELS WITH SEASONAL DUMMY VARIABLES

Linear trend with additive seasonal variation (quarterly data)

𝑥𝑡 = 𝛽0 + 𝛽1 𝑡 + 𝛽2 𝐷2𝑡 + 𝛽3 𝐷3𝑡 + 𝛽4 𝐷4𝑡 + 𝜀𝑡

Exponential trend with multiplicative seasonal variation (quarterly data)

𝐷 𝐷 𝐷
𝑥𝑡 = 𝛽0 ∙ 𝛽1𝑡 ∙ 𝛽2 2𝑡 ∙ 𝛽3 3𝑡 ∙ 𝛽4 4𝑡 ∙ 𝑒 𝜀
where 𝐷𝑗 = 1 for quarter 𝑗 and 𝐷𝑗 = 0 for the other quarters. The model becomes linear
when taking the logarithm of 𝑥𝑡 .

7
EXPONENTIAL SMOOTHING

Simple exponential smoothing (level)

where α is the smoothing
Forecast value at time 𝑡: 𝑥̂𝑡 = (1 − 𝛼)𝑥̂𝑡−1 + 𝛼𝑥𝑡
constant
Prediction for time point 𝑛 + ℎ: 𝑥̂𝑛+ℎ = 𝑥̂𝑛 for ℎ = 1,2,3, …

Holts model (level, trend, non-seasonal)

Level estimate at time 𝑡: 𝑥̂𝑡 = (1 − 𝛼)(𝑥̂𝑡−1 + 𝑇𝑡−1 ) + 𝛼𝑥𝑡 where 𝛼 and 𝛽 are
smoothing
Trend estimate at time 𝑡: 𝑇𝑡 = (1 − 𝛽)𝑇𝑡−1 + 𝛽(𝑥̂𝑡 − 𝑥̂𝑡−1 ) constants

Prediction for time point 𝑛 + ℎ: 𝑥̂𝑛+ℎ = 𝑥̂𝑛 + ℎ ∗ 𝑇𝑛 for ℎ = 1,2,3, …

Holt-Winters model (level, trend, multiplicative seasonality)

𝑥𝑡
Level estimate at time 𝑡: 𝑥̂𝑡 = (1 − 𝛼)(𝑥̂𝑡−1 + 𝑇𝑡−1 ) + 𝛼
𝐹𝑡−𝑠

Trend estimate at time 𝑡: 𝑇𝑡 = (1 − 𝛽)𝑇𝑡−1 + 𝛽(𝑥̂𝑡 − 𝑥̂𝑡−1 )

𝑥𝑡
Seasonal factor at time 𝑡: 𝐹𝑡 = (1 − 𝛾)𝐹𝑡−𝑠 + 𝛾
𝑥̂𝑡

Prediction for time point 𝑛 + ℎ: 𝑥̂𝑛+ℎ = (𝑥̂𝑛 + ℎ ∗ 𝑇𝑛 ) ∙ 𝐹𝑛+ℎ−𝑠 for ℎ = 1,2, … , 𝑠

where 𝛼 and 𝛽 are smoothing constants, 𝑠 is the period

DICKEY-FULLER UNIT ROOT TEST

Model: 𝑋𝑡 = 𝑎0 + 𝑎1 𝑋𝑡−1 + 𝜀𝑡

Hypotheses: 𝐻0 : 𝑎1 = 1 v. 𝐻𝐴 : 𝑎1 < 1
𝑎̂1 − 1
Perform a regression for 𝑋𝑡 on 𝑋𝑡−1 and build: 𝐷𝐹 = 𝑡 − 𝑟𝑎𝑡𝑖𝑜 =
𝑠𝑒(𝑎̂1 )
Table for the critical values at the 5% significance level:

𝑛 if 𝑎0 = 0 if 𝑎0 ≠ 0
25 −1.95 −3.00
50 −1.95 −2.93
100 −1.95 −2.89
250 −1.95 −2.88

8
AUTOCORRELATION AND PARTIAL AUTOCORRELATION

Let 𝑍𝑡 denote a stationary time series; 𝝆𝒌 denotes the theoretical correlation between 𝑍𝑡
and 𝑍𝑡−𝑘 and 𝝅𝒌 denotes the theoretical partial correlation.

𝐴𝐶𝐹 for an 𝐴𝑅(1) model with parameter 𝑎: 𝜌𝑘 = 𝑎𝑘

𝑏
𝐴𝐶𝐹 for an 𝑀𝐴(1) model with parameter 𝑏: 𝜌1 = (1+𝑏2) ; 𝜌𝑘 = 0 for 𝑘 > 1

Summary of the theoretical patterns for ACF and PACF in different ARMA models:

𝐴𝑅(𝑝) 𝑀𝐴(𝑞) 𝐴𝑅𝑀𝐴(𝑝, 𝑞)

tails of tails of
𝐴𝐶𝐹 𝜌𝑘 = 0 for 𝑘 > 𝑞
exponentially exponentially
tails of tails of
𝑃𝐴𝐶𝐹 𝜋𝑘 = 0 för 𝑘 > 𝑝
exponentially exponentially

TEST FOR AUTOCORRELATION (large 𝒏)

Hypotheses: 𝐻0 : 𝜌𝑘 = 0 v. 𝐻𝐴 : 𝜌𝑘 ≠ 0

The standard error of 𝑟𝑘 can be

̂ (𝑟𝑘 ) = √1 (1 + 2 ∑𝑘−1
𝑆𝐸 2
𝑖=1 𝑟𝑖 )
approximately estimated with: 𝑛

For a time series that is assumed to

̂ (𝑟𝑘 ) = √1
𝑆𝐸
be completely random use: 𝑛

̂ (𝑟𝑘 )
Reject 𝐻0 if |𝑟𝑘 | > 2𝑆𝐸

LJUNG-BOX TEST FOR FIRST 𝒌 AUTOCORRELATIONS

Hypotheses: 𝐻0 : 𝜌𝜀1 = 𝜌𝜀2 = ⋯ = 𝜌𝜀𝑘 = 0 v. 𝐻𝐴 : at least one 𝜌𝜀𝑖 ≠ 0

𝐾 2
𝑟𝑒𝑘
Test statistic: 𝑄(𝐾) = 𝑛(𝑛 + 2) ∑
𝑛−𝑘
𝑘=1

Under 𝐻0 , 𝑄(𝐾) is 𝜒 2 -distributed with (𝐾 − no. of estimated parameters) d.f.

THE GENERAL ARMA MODEL

𝒁𝒕 = 𝒂𝟎 + 𝒂𝟏 𝒁𝒕−𝟏 + 𝒂𝟐 𝒁𝒕−𝟐 + ⋯ + 𝒂𝒑 𝒁𝒕−𝒑 + 𝜺𝒕 + 𝒃𝟏 𝜺𝒕−𝟏 + 𝒃𝟐 𝜺𝒕−𝟐 + ⋯ + 𝒃𝒒 𝜺𝒕−𝒒

𝑋𝑡 is an 𝐴𝑅𝐼𝑀𝐴(𝑝, 𝑑, 𝑞) where 𝑑 is the degree of differencing that is needed for 𝑍𝑡 to be

stationary. If 𝑑 = 1 then 𝑍𝑡 = 𝑋𝑡 − 𝑋𝑡−1.

9
PREDICTIONS FOR 𝑿𝒏+𝒉

Example: 𝑿𝒕 follows an 𝑨𝑹𝑰𝑴𝑨(𝟐, 𝟏, 𝟐) model:

𝑍̂𝑛+ℎ = 𝑎̂0 + 𝑎̂1 𝑍𝑛+ℎ−1 + 𝑎̂2 𝑍𝑛+ℎ−2 + 𝑏̂1 ∗ 𝑒𝑛+ℎ−1 + 𝑏̂2 𝑒𝑛+ℎ−2

𝑋̂𝑛+ℎ = 𝑋𝑛+ℎ−1 + 𝑍̂𝑛+ℎ

 If ℎ > 1 then 𝑍𝑛+ℎ−1 is replaced with the corresponding prediction and 𝑒𝑛+ℎ−1 is
replaced with the value zero.
 If ℎ > 2 then 𝑍𝑛+ℎ−2 is replaced with the corresponding prediction and 𝑒𝑛+ℎ−2 is
replaced with the value zero.

ARCH(𝒒) MODEL AND A RANDOM WALK WITH TREND

𝑋𝑡 = 𝑎0 + 𝑋𝑡−1 + 𝜀𝑡 with independent 𝜀𝑡 and 𝐸(𝜀𝑡 ) = 0, 𝑉𝑎𝑟(𝜀𝑡 ) = ℎ𝑡

where ℎ𝑡 = 𝛼0 + 𝛼1 𝜀𝑡−1
2 2
+ ⋯ + 𝛼𝑞 𝜀𝑡−𝑞 where 𝛼0 > 0 and 𝛼1 , … , 𝛼𝑞 ≥ 0

GARCH(𝒑, 𝒒) MODEL AND A RANDOM WALK WITH TREND

𝑋𝑡 = 𝑎0 + 𝑋𝑡−1 + 𝜀𝑡 , with independent 𝜀𝑡 and 𝐸(𝜀𝑡 ) = 0, 𝑉𝑎𝑟(𝜀𝑡 ) = ℎ𝑡

where ℎ𝑡 = 𝛼0 + 𝛼1 𝜀𝑡−1
2 2
+ ⋯ + 𝛼𝑞 𝜀𝑡−𝑞 + 𝛽1 ℎ𝑡−1 + ⋯ + 𝛽𝑝 ℎ𝑡−𝑝

PREDICTION EVALUATION

𝑥𝑡 = outcome 𝑥̂𝑡 = prediction 𝑛 = no. of predicted points

1
ME Mean Error ∑(𝑥𝑡 − 𝑥̂𝑡 )
𝑛
1
MSE Mean Square Error ∑(𝑥𝑡 − 𝑥̂𝑡 )2
𝑛

RMSE Root Mean Square Error √𝑀𝑆𝐸

1
MAD Mean Absolute Deviation ∑ |𝑥𝑡 − 𝑥̂𝑡 |
𝑛
1 (𝑥𝑡 − 𝑥̂𝑡 )
MPE Mean Percentage Error ∑
𝑛 𝑥𝑡

1 |𝑥𝑡 − 𝑥̂𝑡 |
MAPE Mean Absolute Percentage Error ∑
𝑛 𝑥𝑡

10
PRICE INDEX

For the prices 𝑃𝑖 and the corresponding quantities 𝑄𝑖 at time points 𝑡 and 𝑡 + 1, the
Laspeyre’s and Paasche’s price indexes are given by (𝑖 = 1,2, … 𝑛):

∑𝑛𝑖=1 𝑄𝑖𝑡 𝑃𝑖𝑡+1

Laspeyres price index: 𝐼𝐿 =
∑𝑛𝑖=1 𝑄𝑖𝑡 𝑃𝑖𝑡

∑𝑛𝑖=1 𝑄𝑖𝑡+1 𝑃𝑖𝑡+1

Paasche price index: 𝐼𝑃 = 𝑛
∑𝑖=1 𝑄𝑖𝑡+1 𝑃𝑖𝑡

11
TABLE 1. The Standard Normal Distribution
P(Z ≤ z)
Φ(z) = P(Z ≤ z) where Z ∈ N(0, 1).
For negative values, use Φ(-z) = 1 – Φ(z). z

z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.50000 0.50399 0.50798 0.51197 0.51595 0.51994 0.52392 0.52790 0.53188 0.53586
0.1 0.53983 0.54380 0.54776 0.55172 0.55567 0.55962 0.56356 0.56749 0.57142 0.57535
0.2 0.57926 0.58317 0.58706 0.59095 0.59483 0.59871 0.60257 0.60642 0.61026 0.61409
0.3 0.61791 0.62172 0.62552 0.62930 0.63307 0.63683 0.64058 0.64431 0.64803 0.65173
0.4 0.65542 0.65910 0.66276 0.66640 0.67003 0.67364 0.67724 0.68082 0.68439 0.68793
0.5 0.69146 0.69497 0.69847 0.70194 0.70540 0.70884 0.71226 0.71566 0.71904 0.72240
0.6 0.72575 0.72907 0.73237 0.73565 0.73891 0.74215 0.74537 0.74857 0.75175 0.75490
0.7 0.75804 0.76115 0.76424 0.76730 0.77035 0.77337 0.77637 0.77935 0.78230 0.78524
0.8 0.78814 0.79103 0.79389 0.79673 0.79955 0.80234 0.80511 0.80785 0.81057 0.81327
0.9 0.81594 0.81859 0.82121 0.82381 0.82639 0.82894 0.83147 0.83398 0.83646 0.83891
1.0 0.84134 0.84375 0.84614 0.84849 0.85083 0.85314 0.85543 0.85769 0.85993 0.86214
1.1 0.86433 0.86650 0.86864 0.87076 0.87286 0.87493 0.87698 0.87900 0.88100 0.88298
1.2 0.88493 0.88686 0.88877 0.89065 0.89251 0.89435 0.89617 0.89796 0.89973 0.90147
1.3 0.90320 0.90490 0.90658 0.90824 0.90988 0.91149 0.91309 0.91466 0.91621 0.91774
1.4 0.91924 0.92073 0.92220 0.92364 0.92507 0.92647 0.92785 0.92922 0.93056 0.93189
1.5 0.93319 0.93448 0.93574 0.93699 0.93822 0.93943 0.94062 0.94179 0.94295 0.94408
1.6 0.94520 0.94630 0.94738 0.94845 0.94950 0.95053 0.95154 0.95254 0.95352 0.95449
1.7 0.95543 0.95637 0.95728 0.95818 0.95907 0.95994 0.96080 0.96164 0.96246 0.96327
1.8 0.96407 0.96485 0.96562 0.96638 0.96712 0.96784 0.96856 0.96926 0.96995 0.97062
1.9 0.97128 0.97193 0.97257 0.97320 0.97381 0.97441 0.97500 0.97558 0.97615 0.97670
2.0 0.97725 0.97778 0.97831 0.97882 0.97932 0.97982 0.98030 0.98077 0.98124 0.98169
2.1 0.98214 0.98257 0.98300 0.98341 0.98382 0.98422 0.98461 0.98500 0.98537 0.98574
2.2 0.98610 0.98645 0.98679 0.98713 0.98745 0.98778 0.98809 0.98840 0.98870 0.98899
2.3 0.98928 0.98956 0.98983 0.99010 0.99036 0.99061 0.99086 0.99111 0.99134 0.99158
2.4 0.99180 0.99202 0.99224 0.99245 0.99266 0.99286 0.99305 0.99324 0.99343 0.99361
2.5 0.99379 0.99396 0.99413 0.99430 0.99446 0.99461 0.99477 0.99492 0.99506 0.99520
2.6 0.99534 0.99547 0.99560 0.99573 0.99585 0.99598 0.99609 0.99621 0.99632 0.99643
2.7 0.99653 0.99664 0.99674 0.99683 0.99693 0.99702 0.99711 0.99720 0.99728 0.99736
2.8 0.99744 0.99752 0.99760 0.99767 0.99774 0.99781 0.99788 0.99795 0.99801 0.99807
2.9 0.99813 0.99819 0.99825 0.99831 0.99836 0.99841 0.99846 0.99851 0.99856 0.99861
3.0 0.99865 0.99869 0.99874 0.99878 0.99882 0.99886 0.99889 0.99893 0.99896 0.99900
3.1 0.99903 0.99906 0.99910 0.99913 0.99916 0.99918 0.99921 0.99924 0.99926 0.99929
3.2 0.99931 0.99934 0.99936 0.99938 0.99940 0.99942 0.99944 0.99946 0.99948 0.99950
3.3 0.99952 0.99953 0.99955 0.99957 0.99958 0.99960 0.99961 0.99962 0.99964 0.99965
3.4 0.99966 0.99968 0.99969 0.99970 0.99971 0.99972 0.99973 0.99974 0.99975 0.99976
3.5 0.99977 0.99978 0.99978 0.99979 0.99980 0.99981 0.99981 0.99982 0.99983 0.99983
3.6 0.99984 0.99985 0.99985 0.99986 0.99986 0.99987 0.99987 0.99988 0.99988 0.99989
3.7 0.99989 0.99990 0.99990 0.99990 0.99991 0.99991 0.99992 0.99992 0.99992 0.99992
3.8 0.99993 0.99993 0.99993 0.99994 0.99994 0.99994 0.99994 0.99995 0.99995 0.99995
3.9 0.99995 0.99995 0.99996 0.99996 0.99996 0.99996 0.99996 0.99996 0.99997 0.99997
4.0 0.99997 0.99997 0.99997 0.99997 0.99997 0.99997 0.99998 0.99998 0.99998 0.99998

12
TABLE 2. The Standard Normal Distribution
Z ∈ N(0, 1). The value of zα if P(Z > zα) = α where α is a given probability.
Use that P(Z ≤ -zα) = P(Z > zα).

α zα
0.25 0.6745
0.10 1.2816
P(Z > zα) = α 0.05 1.6449
0.025 1.9600
zα 0.010 2.3263
0.005 2.5758
0.0025 2.8070
0.0010 3.0902
0.0005 3.2905
0.00025 3.4808
0.00010 3.7190
0.00005 3.8906
0.000025 4.0556
0.000010 4.2649
0.000005 4.4172

13
TABLE 3. t-distribution
T ∈ t(ν) where ν = degrees of freedom.
The value of tα if P(T > tα) = α where α is a given P(T > tα) = α
probability. Use of that P(T ≤ -tα) = P(T > tα).
tα
ν α = 0.1 0.05 0.025 0.010 0.005 0.0025 0.0010 0.0005
1 3.078 6.314 12.706 31.821 63.657 127.321 318.309 636.619
2 1.886 2.920 4.303 6.965 9.925 14.089 22.327 31.599
3 1.638 2.353 3.182 4.541 5.841 7.453 10.215 12.924
4 1.533 2.132 2.776 3.747 4.604 5.598 7.173 8.610
5 1.476 2.015 2.571 3.365 4.032 4.773 5.893 6.869
6 1.440 1.943 2.447 3.143 3.707 4.317 5.208 5.959
7 1.415 1.895 2.365 2.998 3.499 4.029 4.785 5.408
8 1.397 1.860 2.306 2.896 3.355 3.833 4.501 5.041
9 1.383 1.833 2.262 2.821 3.250 3.690 4.297 4.781
10 1.372 1.812 2.228 2.764 3.169 3.581 4.144 4.587
11 1.363 1.796 2.201 2.718 3.106 3.497 4.025 4.437
12 1.356 1.782 2.179 2.681 3.055 3.428 3.930 4.318
13 1.350 1.771 2.160 2.650 3.012 3.372 3.852 4.221
14 1.345 1.761 2.145 2.624 2.977 3.326 3.787 4.140
15 1.341 1.753 2.131 2.602 2.947 3.286 3.733 4.073
16 1.337 1.746 2.120 2.583 2.921 3.252 3.686 4.015
17 1.333 1.740 2.110 2.567 2.898 3.222 3.646 3.965
18 1.330 1.734 2.101 2.552 2.878 3.197 3.610 3.922
19 1.328 1.729 2.093 2.539 2.861 3.174 3.579 3.883
20 1.325 1.725 2.086 2.528 2.845 3.153 3.552 3.850
21 1.323 1.721 2.080 2.518 2.831 3.135 3.527 3.819
22 1.321 1.717 2.074 2.508 2.819 3.119 3.505 3.792
23 1.319 1.714 2.069 2.500 2.807 3.104 3.485 3.768
24 1.318 1.711 2.064 2.492 2.797 3.091 3.467 3.745
25 1.316 1.708 2.060 2.485 2.787 3.078 3.450 3.725
26 1.315 1.706 2.056 2.479 2.779 3.067 3.435 3.707
27 1.314 1.703 2.052 2.473 2.771 3.057 3.421 3.690
28 1.313 1.701 2.048 2.467 2.763 3.047 3.408 3.674
29 1.311 1.699 2.045 2.462 2.756 3.038 3.396 3.659
30 1.310 1.697 2.042 2.457 2.750 3.030 3.385 3.646
35 1.306 1.690 2.030 2.438 2.724 2.996 3.340 3.591
40 1.303 1.684 2.021 2.423 2.704 2.971 3.307 3.551
45 1.301 1.679 2.014 2.412 2.690 2.952 3.281 3.520
50 1.299 1.676 2.009 2.403 2.678 2.937 3.261 3.496
55 1.297 1.673 2.004 2.396 2.668 2.925 3.245 3.476
60 1.296 1.671 2.000 2.390 2.660 2.915 3.232 3.460
65 1.295 1.669 1.997 2.385 2.654 2.906 3.220 3.447
70 1.294 1.667 1.994 2.381 2.648 2.899 3.211 3.435
75 1.293 1.665 1.992 2.377 2.643 2.892 3.202 3.425
Continued on next page

14
TABELL 3 continued t-distribution
ν α = 0.1 0.05 0.025 0.010 0.005 0.0025 0.0010 0.0005
80 1.292 1.664 1.990 2.374 2.639 2.887 3.195 3.416
85 1.292 1.663 1.988 2.371 2.635 2.882 3.189 3.409
90 1.291 1.662 1.987 2.368 2.632 2.878 3.183 3.402
95 1.291 1.661 1.985 2.366 2.629 2.874 3.178 3.396
100 1.290 1.660 1.984 2.364 2.626 2.871 3.174 3.390
125 1.288 1.657 1.979 2.357 2.616 2.858 3.157 3.370
150 1.287 1.655 1.976 2.351 2.609 2.849 3.145 3.357
175 1.286 1.654 1.974 2.348 2.604 2.843 3.137 3.347
200 1.286 1.653 1.972 2.345 2.601 2.839 3.131 3.340
300 1.284 1.650 1.968 2.339 2.592 2.828 3.118 3.323
400 1.284 1.649 1.966 2.336 2.588 2.823 3.111 3.315
500 1.283 1.648 1.965 2.334 2.586 2.820 3.107 3.310
1000 1.282 1.646 1.962 2.330 2.581 2.813 3.098 3.300
2000 1.282 1.646 1.961 2.328 2.578 2.810 3.094 3.295
3000 1.282 1.645 1.961 2.328 2.577 2.809 3.093 3.294
4000 1.282 1.645 1.961 2.327 2.577 2.809 3.092 3.293
5000 1.282 1.645 1.960 2.327 2.577 2.808 3.092 3.292

15
TABLE 4. χ2-distribution
Q ∈ χ2(ν) where ν = degrees of freedom.
The value of qα if P(Q > qα) = α where α is a given probability.

ν α = 0.999 0.995 0.99 0.975 0.95 0.05 0.025 0.01 0.005 0.001
1 0.000 0.000 0.000 0.001 0.004 3.841 5.024 6.635 7.879 10.828
2 0.002 0.010 0.020 0.051 0.103 5.991 7.378 9.210 10.597 13.816
3 0.024 0.072 0.115 0.216 0.352 7.815 9.348 11.345 12.838 16.266
4 0.091 0.207 0.297 0.484 0.711 9.488 11.143 13.277 14.860 18.467
5 0.210 0.412 0.554 0.831 1.145 11.070 12.833 15.086 16.750 20.515
6 0.381 0.676 0.872 1.237 1.635 12.592 14.449 16.812 18.548 22.458
7 0.598 0.989 1.239 1.690 2.167 14.067 16.013 18.475 20.278 24.322
8 0.857 1.344 1.646 2.180 2.733 15.507 17.535 20.090 21.955 26.124
9 1.152 1.735 2.088 2.700 3.325 16.919 19.023 21.666 23.589 27.877
10 1.479 2.156 2.558 3.247 3.940 18.307 20.483 23.209 25.188 29.588
11 1.834 2.603 3.053 3.816 4.575 19.675 21.920 24.725 26.757 31.264
12 2.214 3.074 3.571 4.404 5.226 21.026 23.337 26.217 28.300 32.909
13 2.617 3.565 4.107 5.009 5.892 22.362 24.736 27.688 29.819 34.528
14 3.041 4.075 4.660 5.629 6.571 23.685 26.119 29.141 31.319 36.123
15 3.483 4.601 5.229 6.262 7.261 24.996 27.488 30.578 32.801 37.697
16 3.942 5.142 5.812 6.908 7.962 26.296 28.845 32.000 34.267 39.252
17 4.416 5.697 6.408 7.564 8.672 27.587 30.191 33.409 35.718 40.790
18 4.905 6.265 7.015 8.231 9.390 28.869 31.526 34.805 37.156 42.312
19 5.407 6.844 7.633 8.907 10.117 30.144 32.852 36.191 38.582 43.820
20 5.921 7.434 8.260 9.591 10.851 31.410 34.170 37.566 39.997 45.315
21 6.447 8.034 8.897 10.283 11.591 32.671 35.479 38.932 41.401 46.797
22 6.983 8.643 9.542 10.982 12.338 33.924 36.781 40.289 42.796 48.268
23 7.529 9.260 10.196 11.689 13.091 35.172 38.076 41.638 44.181 49.728
24 8.085 9.886 10.856 12.401 13.848 36.415 39.364 42.980 45.559 51.179
25 8.649 10.520 11.524 13.120 14.611 37.652 40.646 44.314 46.928 52.620
26 9.222 11.160 12.198 13.844 15.379 38.885 41.923 45.642 48.290 54.052
27 9.803 11.808 12.879 14.573 16.151 40.113 43.195 46.963 49.645 55.476
28 10.391 12.461 13.565 15.308 16.928 41.337 44.461 48.278 50.993 56.892
29 10.986 13.121 14.256 16.047 17.708 42.557 45.722 49.588 52.336 58.301
30 11.588 13.787 14.953 16.791 18.493 43.773 46.979 50.892 53.672 59.703
32 12.811 15.134 16.362 18.291 20.072 46.194 49.480 53.486 56.328 62.487
34 14.057 16.501 17.789 19.806 21.664 48.602 51.966 56.061 58.964 65.247
36 15.324 17.887 19.233 21.336 23.269 50.998 54.437 58.619 61.581 67.985
38 16.611 19.289 20.691 22.878 24.884 53.384 56.896 61.162 64.181 70.703
40 17.916 20.707 22.164 24.433 26.509 55.758 59.342 63.691 66.766 73.402
42 19.239 22.138 23.650 25.999 28.144 58.124 61.777 66.206 69.336 76.084
44 20.576 23.584 25.148 27.575 29.787 60.481 64.201 68.710 71.893 78.750
46 21.929 25.041 26.657 29.160 31.439 62.830 66.617 71.201 74.437 81.400
48 23.295 26.511 28.177 30.755 33.098 65.171 69.023 73.683 76.969 84.037
50 24.674 27.991 29.707 32.357 34.764 67.505 71.420 76.154 79.490 86.661
Continued on next page

16
TABLE 4 continued χ2-distribution

ν α = 0.999 0.995 0.99 0.975 0.95 0.05 0.025 0.01 0.005 0.001
55 28.173 31.735 33.570 36.398 38.958 73.311 77.380 82.292 85.749 93.168
60 31.738 35.534 37.485 40.482 43.188 79.082 83.298 88.379 91.952 99.607
65 35.362 39.383 41.444 44.603 47.450 84.821 89.177 94.422 98.105 105.988
70 39.036 43.275 45.442 48.758 51.739 90.531 95.023 100.425 104.215 112.317
75 42.757 47.206 49.475 52.942 56.054 96.217 100.839 106.393 110.286 118.599
80 46.520 51.172 53.540 57.153 60.391 101.879 106.629 112.329 116.321 124.839
85 50.320 55.170 57.634 61.389 64.749 107.522 112.393 118.236 122.325 131.041
90 54.155 59.196 61.754 65.647 69.126 113.145 118.136 124.116 128.299 137.208
95 58.022 63.250 65.898 69.925 73.520 118.752 123.858 129.973 134.247 143.344
100 61.918 67.328 70.065 74.222 77.929 124.342 129.561 135.807 140.169 149.449
120 77.755 83.852 86.923 91.573 95.705 146.567 152.211 158.950 163.648 173.617
150 102.113 109.142 112.668 117.985 122.692 179.581 185.800 193.208 198.360 209.265
200 143.843 152.241 156.432 162.728 168.279 233.994 241.058 249.445 255.264 267.541
300 229.963 240.663 245.972 253.912 260.878 341.395 349.874 359.906 366.844 381.425
400 318.260 330.903 337.155 346.482 354.641 447.632 457.305 468.724 476.606 493.132
500 407.947 422.303 429.388 439.936 449.147 553.127 563.852 576.493 585.207 603.446

P(Q > qα) = α (ex. 0,99) P(Q > qα) = α (ex. 0,05)

qα qα

17
TABLE 5 F-distribution percentiles for α = 0.05
F ∈ F(v1,v2) where ν1 = d.f. in the numerator and ν2 = d.f. in the denominator
The value of fα if P(F > fα) = α

v1 =
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
v2 = 1 161.4 199.5 215.7 224.6 230.2 234.0 236.8 238.9 240.5 241.9 243.0 243.9 244.7 245.4 245.9
2 18.51 19.00 19.16 19.25 19.30 19.33 19.35 19.37 19.38 19.40 19.40 19.41 19.42 19.42 19.43
3 10.13 9.55 9.28 9.12 9.01 8.94 8.89 8.85 8.81 8.79 8.76 8.74 8.73 8.71 8.70
4 7.71 6.94 6.59 6.39 6.26 6.16 6.09 6.04 6.00 5.96 5.94 5.91 5.89 5.87 5.86
5 6.61 5.79 5.41 5.19 5.05 4.95 4.88 4.82 4.77 4.74 4.70 4.68 4.66 4.64 4.62
6 5.99 5.14 4.76 4.53 4.39 4.28 4.21 4.15 4.10 4.06 4.03 4.00 3.98 3.96 3.94
7 5.59 4.74 4.35 4.12 3.97 3.87 3.79 3.73 3.68 3.64 3.60 3.57 3.55 3.53 3.51
8 5.32 4.46 4.07 3.84 3.69 3.58 3.50 3.44 3.39 3.35 3.31 3.28 3.26 3.24 3.22
9 5.12 4.26 3.86 3.63 3.48 3.37 3.29 3.23 3.18 3.14 3.10 3.07 3.05 3.03 3.01
10 4.96 4.10 3.71 3.48 3.33 3.22 3.14 3.07 3.02 2.98 2.94 2.91 2.89 2.86 2.85
11 4.84 3.98 3.59 3.36 3.20 3.09 3.01 2.95 2.90 2.85 2.82 2.79 2.76 2.74 2.72
12 4.75 3.89 3.49 3.26 3.11 3.00 2.91 2.85 2.80 2.75 2.72 2.69 2.66 2.64 2.62
13 4.67 3.81 3.41 3.18 3.03 2.92 2.83 2.77 2.71 2.67 2.63 2.60 2.58 2.55 2.53
14 4.60 3.74 3.34 3.11 2.96 2.85 2.76 2.70 2.65 2.60 2.57 2.53 2.51 2.48 2.46
15 4.54 3.68 3.29 3.06 2.90 2.79 2.71 2.64 2.59 2.54 2.51 2.48 2.45 2.42 2.40
16 4.49 3.63 3.24 3.01 2.85 2.74 2.66 2.59 2.54 2.49 2.46 2.42 2.40 2.37 2.35
17 4.45 3.59 3.20 2.96 2.81 2.70 2.61 2.55 2.49 2.45 2.41 2.38 2.35 2.33 2.31
18 4.41 3.55 3.16 2.93 2.77 2.66 2.58 2.51 2.46 2.41 2.37 2.34 2.31 2.29 2.27
19 4.38 3.52 3.13 2.90 2.74 2.63 2.54 2.48 2.42 2.38 2.34 2.31 2.28 2.26 2.23
20 4.35 3.49 3.10 2.87 2.71 2.60 2.51 2.45 2.39 2.35 2.31 2.28 2.25 2.22 2.20
25 4.24 3.39 2.99 2.76 2.60 2.49 2.40 2.34 2.28 2.24 2.20 2.16 2.14 2.11 2.09
30 4.17 3.32 2.92 2.69 2.53 2.42 2.33 2.27 2.21 2.16 2.13 2.09 2.06 2.04 2.01
35 4.12 3.27 2.87 2.64 2.49 2.37 2.29 2.22 2.16 2.11 2.07 2.04 2.01 1.99 1.96
40 4.08 3.23 2.84 2.61 2.45 2.34 2.25 2.18 2.12 2.08 2.04 2.00 1.97 1.95 1.92
45 4.06 3.20 2.81 2.58 2.42 2.31 2.22 2.15 2.10 2.05 2.01 1.97 1.94 1.92 1.89
50 4.03 3.18 2.79 2.56 2.40 2.29 2.20 2.13 2.07 2.03 1.99 1.95 1.92 1.89 1.87
60 4.00 3.15 2.76 2.53 2.37 2.25 2.17 2.10 2.04 1.99 1.95 1.92 1.89 1.86 1.84
70 3.98 3.13 2.74 2.50 2.35 2.23 2.14 2.07 2.02 1.97 1.93 1.89 1.86 1.84 1.81
80 3.96 3.11 2.72 2.49 2.33 2.21 2.13 2.06 2.00 1.95 1.91 1.88 1.84 1.82 1.79
100 3.94 3.09 2.70 2.46 2.31 2.19 2.10 2.03 1.97 1.93 1.89 1.85 1.82 1.79 1.77
∞ 3.84 3.00 2.60 2.37 2.21 2.10 2.01 1.94 1.88 1.83 1.79 1.75 1.72 1.69 1.67

Continued on next page

P(F > fα) = α = 0,05

18
TABLE 5 continued. F-distribution percentiles for α = 0.05

v1 =
16 17 18 19 20 25 30 35 40 50 60 70 80 100 ∞
v2 = 1 246.5 246.9 247.3 247.7 248.0 249.3 250.1 250.7 251.1 251.8 252.2 252.5 252.7 253.0 254.3
2 19.43 19.44 19.44 19.44 19.45 19.46 19.46 19.47 19.47 19.48 19.48 19.48 19.48 19.49 19.50
3 8.69 8.68 8.67 8.67 8.66 8.63 8.62 8.60 8.59 8.58 8.57 8.57 8.56 8.55 8.53
4 5.84 5.83 5.82 5.81 5.80 5.77 5.75 5.73 5.72 5.70 5.69 5.68 5.67 5.66 5.63
5 4.60 4.59 4.58 4.57 4.56 4.52 4.50 4.48 4.46 4.44 4.43 4.42 4.41 4.41 4.37
6 3.92 3.91 3.90 3.88 3.87 3.83 3.81 3.79 3.77 3.75 3.74 3.73 3.72 3.71 3.67
7 3.49 3.48 3.47 3.46 3.44 3.40 3.38 3.36 3.34 3.32 3.30 3.29 3.29 3.27 3.23
8 3.20 3.19 3.17 3.16 3.15 3.11 3.08 3.06 3.04 3.02 3.01 2.99 2.99 2.97 2.93
9 2.99 2.97 2.96 2.95 2.94 2.89 2.86 2.84 2.83 2.80 2.79 2.78 2.77 2.76 2.71
10 2.83 2.81 2.80 2.79 2.77 2.73 2.70 2.68 2.66 2.64 2.62 2.61 2.60 2.59 2.54
11 2.70 2.69 2.67 2.66 2.65 2.60 2.57 2.55 2.53 2.51 2.49 2.48 2.47 2.46 2.40
12 2.60 2.58 2.57 2.56 2.54 2.50 2.47 2.44 2.43 2.40 2.38 2.37 2.36 2.35 2.30
13 2.51 2.50 2.48 2.47 2.46 2.41 2.38 2.36 2.34 2.31 2.30 2.28 2.27 2.26 2.21
14 2.44 2.43 2.41 2.40 2.39 2.34 2.31 2.28 2.27 2.24 2.22 2.21 2.20 2.19 2.13
15 2.38 2.37 2.35 2.34 2.33 2.28 2.25 2.22 2.20 2.18 2.16 2.15 2.14 2.12 2.07
16 2.33 2.32 2.30 2.29 2.28 2.23 2.19 2.17 2.15 2.12 2.11 2.09 2.08 2.07 2.01
17 2.29 2.27 2.26 2.24 2.23 2.18 2.15 2.12 2.10 2.08 2.06 2.05 2.03 2.02 1.96
18 2.25 2.23 2.22 2.20 2.19 2.14 2.11 2.08 2.06 2.04 2.02 2.00 1.99 1.98 1.92
19 2.21 2.20 2.18 2.17 2.16 2.11 2.07 2.05 2.03 2.00 1.98 1.97 1.96 1.94 1.88
20 2.18 2.17 2.15 2.14 2.12 2.07 2.04 2.01 1.99 1.97 1.95 1.93 1.92 1.91 1.84
25 2.07 2.05 2.04 2.02 2.01 1.96 1.92 1.89 1.87 1.84 1.82 1.81 1.80 1.78 1.71
30 1.99 1.98 1.96 1.95 1.93 1.88 1.84 1.81 1.79 1.76 1.74 1.72 1.71 1.70 1.62
35 1.94 1.92 1.91 1.89 1.88 1.82 1.79 1.76 1.74 1.70 1.68 1.66 1.65 1.63 1.56
40 1.90 1.89 1.87 1.85 1.84 1.78 1.74 1.72 1.69 1.66 1.64 1.62 1.61 1.59 1.51
45 1.87 1.86 1.84 1.82 1.81 1.75 1.71 1.68 1.66 1.63 1.60 1.59 1.57 1.55 1.47
50 1.85 1.83 1.81 1.80 1.78 1.73 1.69 1.66 1.63 1.60 1.58 1.56 1.54 1.52 1.44
60 1.82 1.80 1.78 1.76 1.75 1.69 1.65 1.62 1.59 1.56 1.53 1.52 1.50 1.48 1.39
70 1.79 1.77 1.75 1.74 1.72 1.66 1.62 1.59 1.57 1.53 1.50 1.49 1.47 1.45 1.35
80 1.77 1.75 1.73 1.72 1.70 1.64 1.60 1.57 1.54 1.51 1.48 1.46 1.45 1.43 1.32
100 1.75 1.73 1.71 1.69 1.68 1.62 1.57 1.54 1.52 1.48 1.45 1.43 1.41 1.39 1.28
∞ 1.64 1.62 1.60 1.59 1.57 1.51 1.46 1.42 1.39 1.35 1.32 1.29 1.27 1.24 1.00

19
TABLE 7. Binomial distribution; n = 2, 3, …, 9
P(X ≤ x) where X ∈ Bin(n, p). For p > 0.5 use P(X ≤ x) = P(Y ≥ n-x) where Y ∈ Bin(n, 1-p)

n x p = 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
2 0 0.90250 0.81000 0.72250 0.64000 0.56250 0.49000 0.42250 0.36000 0.30250 0.25000
1 0.99750 0.99000 0.97750 0.96000 0.93750 0.91000 0.87750 0.84000 0.79750 0.75000
3 0 0.85738 0.72900 0.61413 0.51200 0.42188 0.34300 0.27463 0.21600 0.16638 0.12500
1 0.99275 0.97200 0.93925 0.89600 0.84375 0.78400 0.71825 0.64800 0.57475 0.50000
2 0.99988 0.99900 0.99663 0.99200 0.98438 0.97300 0.95713 0.93600 0.90888 0.87500
4 0 0.81451 0.65610 0.52201 0.40960 0.31641 0.24010 0.17851 0.12960 0.09151 0.06250
1 0.98598 0.94770 0.89048 0.81920 0.73828 0.65170 0.56298 0.47520 0.39098 0.31250
2 0.99952 0.99630 0.98802 0.97280 0.94922 0.91630 0.87352 0.82080 0.75852 0.68750
3 0.99999 0.99990 0.99949 0.99840 0.99609 0.99190 0.98499 0.97440 0.95899 0.93750
5 0 0.77378 0.59049 0.44371 0.32768 0.23730 0.16807 0.11603 0.07776 0.05033 0.03125
1 0.97741 0.91854 0.83521 0.73728 0.63281 0.52822 0.42842 0.33696 0.25622 0.18750
2 0.99884 0.99144 0.97339 0.94208 0.89648 0.83692 0.76483 0.68256 0.59313 0.50000
3 0.99997 0.99954 0.99777 0.99328 0.98438 0.96922 0.94598 0.91296 0.86878 0.81250
4 1.00000 0.99999 0.99992 0.99968 0.99902 0.99757 0.99475 0.98976 0.98155 0.96875
6 0 0.73509 0.53144 0.37715 0.26214 0.17798 0.11765 0.07542 0.04666 0.02768 0.01563
1 0.96723 0.88574 0.77648 0.65536 0.53394 0.42018 0.31908 0.23328 0.16357 0.10938
2 0.99777 0.98415 0.95266 0.90112 0.83057 0.74431 0.64709 0.54432 0.44152 0.34375
3 0.99991 0.99873 0.99411 0.98304 0.96240 0.92953 0.88258 0.82080 0.74474 0.65625
4 1.00000 0.99995 0.99960 0.99840 0.99536 0.98906 0.97768 0.95904 0.93080 0.89063
5 1.00000 0.99999 0.99994 0.99976 0.99927 0.99816 0.99590 0.99170 0.98438
7 0 0.69834 0.47830 0.32058 0.20972 0.13348 0.08235 0.04902 0.02799 0.01522 0.00781
1 0.95562 0.85031 0.71658 0.57672 0.44495 0.32942 0.23380 0.15863 0.10242 0.06250
2 0.99624 0.97431 0.92623 0.85197 0.75641 0.64707 0.53228 0.41990 0.31644 0.22656
3 0.99981 0.99727 0.98790 0.96666 0.92944 0.87396 0.80015 0.71021 0.60829 0.50000
4 0.99999 0.99982 0.99878 0.99533 0.98712 0.97120 0.94439 0.90374 0.84707 0.77344
5 1.00000 0.99999 0.99993 0.99963 0.99866 0.99621 0.99099 0.98116 0.96429 0.93750
6 1.00000 1.00000 0.99999 0.99994 0.99978 0.99936 0.99836 0.99626 0.99219
8 0 0.66342 0.43047 0.27249 0.16777 0.10011 0.05765 0.03186 0.01680 0.00837 0.00391
1 0.94276 0.81310 0.65718 0.50332 0.36708 0.25530 0.16913 0.10638 0.06318 0.03516
2 0.99421 0.96191 0.89479 0.79692 0.67854 0.55177 0.42781 0.31539 0.22013 0.14453
3 0.99963 0.99498 0.97865 0.94372 0.88618 0.80590 0.70640 0.59409 0.47696 0.36328
4 0.99998 0.99957 0.99715 0.98959 0.97270 0.94203 0.89391 0.82633 0.73962 0.63672
5 1.00000 0.99998 0.99976 0.99877 0.99577 0.98871 0.97468 0.95019 0.91154 0.85547
6 1.00000 0.99999 0.99992 0.99962 0.99871 0.99643 0.99148 0.98188 0.96484
7 1.00000 1.00000 0.99998 0.99993 0.99977 0.99934 0.99832 0.99609
9 0 0.63025 0.38742 0.23162 0.13422 0.07508 0.04035 0.02071 0.01008 0.00461 0.00195
1 0.92879 0.77484 0.59948 0.43621 0.30034 0.19600 0.12109 0.07054 0.03852 0.01953
2 0.99164 0.94703 0.85915 0.73820 0.60068 0.46283 0.33727 0.23179 0.14950 0.08984
3 0.99936 0.99167 0.96607 0.91436 0.83427 0.72966 0.60889 0.48261 0.36138 0.25391
4 0.99997 0.99911 0.99437 0.98042 0.95107 0.90119 0.82828 0.73343 0.62142 0.50000
5 1.00000 0.99994 0.99937 0.99693 0.99001 0.97471 0.94641 0.90065 0.83418 0.74609
6 1.00000 0.99995 0.99969 0.99866 0.99571 0.98882 0.97497 0.95023 0.91016
7 1.00000 0.99998 0.99989 0.99957 0.99860 0.99620 0.99092 0.98047
8 1.00000 1.00000 0.99998 0.99992 0.99974 0.99924 0.99805

20
TABLE 7 continued Binomial distribution; n = 10, …, 13
n x p = 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
10 0 0.59874 0.34868 0.19687 0.10737 0.05631 0.02825 0.01346 0.00605 0.00253 0.00098
1 0.91386 0.73610 0.54430 0.37581 0.24403 0.14931 0.08595 0.04636 0.02326 0.01074
2 0.98850 0.92981 0.82020 0.67780 0.52559 0.38278 0.26161 0.16729 0.09956 0.05469
3 0.99897 0.98720 0.95003 0.87913 0.77588 0.64961 0.51383 0.38228 0.26604 0.17188
4 0.99994 0.99837 0.99013 0.96721 0.92187 0.84973 0.75150 0.63310 0.50440 0.37695
5 1.00000 0.99985 0.99862 0.99363 0.98027 0.95265 0.90507 0.83376 0.73844 0.62305
6 0.99999 0.99987 0.99914 0.99649 0.98941 0.97398 0.94524 0.89801 0.82813
7 1.00000 0.99999 0.99992 0.99958 0.99841 0.99518 0.98771 0.97261 0.94531
8 1.00000 1.00000 0.99997 0.99986 0.99946 0.99832 0.99550 0.98926
9 1.00000 0.99999 0.99997 0.99990 0.99966 0.99902
11 0 0.56880 0.31381 0.16734 0.08590 0.04224 0.01977 0.00875 0.00363 0.00139 0.00049
1 0.89811 0.69736 0.49219 0.32212 0.19710 0.11299 0.06058 0.03023 0.01393 0.00586
2 0.98476 0.91044 0.77881 0.61740 0.45520 0.31274 0.20013 0.11892 0.06522 0.03271
3 0.99845 0.98147 0.93056 0.83886 0.71330 0.56956 0.42555 0.29628 0.19112 0.11328
4 0.99989 0.99725 0.98411 0.94959 0.88537 0.78970 0.66831 0.53277 0.39714 0.27441
5 0.99999 0.99970 0.99734 0.98835 0.96567 0.92178 0.85132 0.75350 0.63312 0.50000
6 1.00000 0.99998 0.99968 0.99803 0.99244 0.97838 0.94986 0.90065 0.82620 0.72559
7 1.00000 0.99997 0.99976 0.99881 0.99571 0.98776 0.97072 0.93904 0.88672
8 1.00000 0.99998 0.99987 0.99942 0.99796 0.99408 0.98520 0.96729
9 1.00000 0.99999 0.99995 0.99979 0.99927 0.99779 0.99414
10 1.00000 1.00000 0.99999 0.99996 0.99985 0.99951
12 0 0.54036 0.28243 0.14224 0.06872 0.03168 0.01384 0.00569 0.00218 0.00077 0.00024
1 0.88164 0.65900 0.44346 0.27488 0.15838 0.08503 0.04244 0.01959 0.00829 0.00317
2 0.98043 0.88913 0.73582 0.55835 0.39068 0.25282 0.15129 0.08344 0.04214 0.01929
3 0.99776 0.97436 0.90779 0.79457 0.64878 0.49252 0.34665 0.22534 0.13447 0.07300
4 0.99982 0.99567 0.97608 0.92744 0.84236 0.72366 0.58335 0.43818 0.30443 0.19385
5 0.99999 0.99946 0.99536 0.98059 0.94560 0.88215 0.78726 0.66521 0.52693 0.38721
6 1.00000 0.99995 0.99933 0.99610 0.98575 0.96140 0.91537 0.84179 0.73931 0.61279
7 1.00000 0.99993 0.99942 0.99722 0.99051 0.97449 0.94269 0.88826 0.80615
8 0.99999 0.99994 0.99961 0.99831 0.99439 0.98473 0.96443 0.92700
9 1.00000 1.00000 0.99996 0.99979 0.99915 0.99719 0.99212 0.98071
10 1.00000 0.99998 0.99992 0.99968 0.99892 0.99683
11 1.00000 1.00000 0.99998 0.99993 0.99976
13 0 0.51334 0.25419 0.12091 0.05498 0.02376 0.00969 0.00370 0.00131 0.00042 0.00012
1 0.86458 0.62134 0.39828 0.23365 0.12671 0.06367 0.02958 0.01263 0.00490 0.00171
2 0.97549 0.86612 0.69196 0.50165 0.33260 0.20248 0.11319 0.05790 0.02691 0.01123
3 0.99690 0.96584 0.88200 0.74732 0.58425 0.42061 0.27827 0.16858 0.09292 0.04614
4 0.99971 0.99354 0.96584 0.90087 0.79396 0.65431 0.50050 0.35304 0.22795 0.13342
5 0.99998 0.99908 0.99247 0.96996 0.91979 0.83460 0.71589 0.57440 0.42681 0.29053
6 1.00000 0.99990 0.99873 0.99300 0.97571 0.93762 0.87053 0.77116 0.64374 0.50000
7 0.99999 0.99984 0.99875 0.99435 0.98178 0.95380 0.90233 0.82123 0.70947
8 1.00000 0.99998 0.99983 0.99901 0.99597 0.98743 0.96792 0.93015 0.86658
9 1.00000 0.99998 0.99987 0.99935 0.99749 0.99221 0.97966 0.95386
10 1.00000 0.99999 0.99993 0.99965 0.99868 0.99586 0.98877
11 1.00000 1.00000 0.99997 0.99986 0.99948 0.99829
12 1.00000 0.99999 0.99997 0.99988

21
TABLE 7 continued Binomial distribution; n = 14, 15, 16
n x p = 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
14 0 0.48767 0.22877 0.10277 0.04398 0.01782 0.00678 0.00240 0.00078 0.00023 0.00006
1 0.84701 0.58463 0.35667 0.19791 0.10097 0.04748 0.02052 0.00810 0.00289 0.00092
2 0.96995 0.84164 0.64791 0.44805 0.28113 0.16084 0.08393 0.03979 0.01701 0.00647
3 0.99583 0.95587 0.85349 0.69819 0.52134 0.35517 0.22050 0.12431 0.06322 0.02869
4 0.99957 0.99077 0.95326 0.87016 0.74153 0.58420 0.42272 0.27926 0.16719 0.08978
5 0.99997 0.99853 0.98847 0.95615 0.88833 0.78052 0.64051 0.48585 0.33732 0.21198
6 1.00000 0.99982 0.99779 0.98839 0.96173 0.90672 0.81641 0.69245 0.54612 0.39526
7 0.99998 0.99967 0.99760 0.98969 0.96853 0.92466 0.84986 0.74136 0.60474
8 1.00000 0.99996 0.99962 0.99785 0.99171 0.97566 0.94168 0.88114 0.78802
9 1.00000 0.99995 0.99966 0.99833 0.99396 0.98249 0.95738 0.91022
10 1.00000 0.99996 0.99975 0.99889 0.99609 0.98857 0.97131
11 1.00000 0.99997 0.99986 0.99939 0.99785 0.99353
12 1.00000 0.99999 0.99994 0.99975 0.99908
13 1.00000 1.00000 0.99999 0.99994
15 0 0.46329 0.20589 0.08735 0.03518 0.01336 0.00475 0.00156 0.00047 0.00013 0.00003
1 0.82905 0.54904 0.31859 0.16713 0.08018 0.03527 0.01418 0.00517 0.00169 0.00049
2 0.96380 0.81594 0.60423 0.39802 0.23609 0.12683 0.06173 0.02711 0.01065 0.00369
3 0.99453 0.94444 0.82266 0.64816 0.46129 0.29687 0.17270 0.09050 0.04242 0.01758
4 0.99939 0.98728 0.93829 0.83577 0.68649 0.51549 0.35194 0.21728 0.12040 0.05923
5 0.99995 0.99775 0.98319 0.93895 0.85163 0.72162 0.56428 0.40322 0.26076 0.15088
6 1.00000 0.99969 0.99639 0.98194 0.94338 0.86886 0.75484 0.60981 0.45216 0.30362
7 0.99997 0.99939 0.99576 0.98270 0.94999 0.88677 0.78690 0.65350 0.50000
8 1.00000 0.99992 0.99922 0.99581 0.98476 0.95781 0.90495 0.81824 0.69638
9 0.99999 0.99989 0.99921 0.99635 0.98756 0.96617 0.92307 0.84912
10 1.00000 0.99999 0.99988 0.99933 0.99717 0.99065 0.97453 0.94077
11 1.00000 0.99999 0.99991 0.99952 0.99807 0.99367 0.98242
12 1.00000 0.99999 0.99994 0.99972 0.99889 0.99631
13 1.00000 1.00000 0.99997 0.99988 0.99951
14 1.00000 0.99999 0.99997
16 0 0.44013 0.18530 0.07425 0.02815 0.01002 0.00332 0.00102 0.00028 0.00007 0.00002
1 0.81076 0.51473 0.28390 0.14074 0.06348 0.02611 0.00976 0.00329 0.00099 0.00026
2 0.95706 0.78925 0.56138 0.35184 0.19711 0.09936 0.04509 0.01834 0.00662 0.00209
3 0.99300 0.93159 0.78989 0.59813 0.40499 0.24586 0.13386 0.06515 0.02813 0.01064
4 0.99914 0.98300 0.92095 0.79825 0.63019 0.44990 0.28921 0.16657 0.08531 0.03841
5 0.99992 0.99670 0.97646 0.91831 0.81035 0.65978 0.48996 0.32884 0.19760 0.10506
6 0.99999 0.99950 0.99441 0.97334 0.92044 0.82469 0.68815 0.52717 0.36603 0.22725
7 1.00000 0.99994 0.99894 0.99300 0.97287 0.92565 0.84059 0.71606 0.56290 0.40181
8 0.99999 0.99984 0.99852 0.99253 0.97433 0.93294 0.85773 0.74411 0.59819
9 1.00000 0.99998 0.99975 0.99836 0.99287 0.97714 0.94168 0.87590 0.77275
10 1.00000 0.99997 0.99971 0.99843 0.99380 0.98086 0.95138 0.89494
11 1.00000 0.99996 0.99973 0.99870 0.99510 0.98506 0.96159
12 1.00000 0.99997 0.99980 0.99906 0.99654 0.98936
13 1.00000 0.99998 0.99987 0.99944 0.99791
14 1.00000 0.99999 0.99994 0.99974
15 1.00000 1.00000 0.99998

22
TABLE 7 continued Binomial distribution; n = 17, 18, 19
n x p = 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
17 0 0.41812 0.16677 0.06311 0.02252 0.00752 0.00233 0.00066 0.00017 0.00004 0.00001
1 0.79223 0.48179 0.25245 0.11822 0.05011 0.01928 0.00670 0.00209 0.00057 0.00014
2 0.94975 0.76180 0.51976 0.30962 0.16370 0.07739 0.03273 0.01232 0.00409 0.00117
3 0.99120 0.91736 0.75561 0.54888 0.35302 0.20191 0.10279 0.04642 0.01845 0.00636
4 0.99884 0.97786 0.90129 0.75822 0.57389 0.38869 0.23484 0.12600 0.05958 0.02452
5 0.99988 0.99533 0.96813 0.89430 0.76531 0.59682 0.41970 0.26393 0.14707 0.07173
6 0.99999 0.99922 0.99172 0.96234 0.89292 0.77522 0.61878 0.44784 0.29024 0.16615
7 1.00000 0.99989 0.99826 0.98907 0.95976 0.89536 0.78724 0.64051 0.47431 0.31453
8 0.99999 0.99970 0.99742 0.98762 0.95972 0.90062 0.80106 0.66256 0.50000
9 1.00000 0.99996 0.99951 0.99690 0.98731 0.96167 0.90810 0.81659 0.68547
10 1.00000 0.99992 0.99937 0.99676 0.98797 0.96519 0.91741 0.83385
11 0.99999 0.99990 0.99934 0.99699 0.98941 0.96990 0.92827
12 1.00000 0.99999 0.99990 0.99941 0.99748 0.99138 0.97548
13 1.00000 0.99999 0.99991 0.99955 0.99813 0.99364
14 1.00000 0.99999 0.99994 0.99971 0.99883
15 1.00000 1.00000 0.99997 0.99986
16 1.00000 0.99999
18 0 0.39721 0.15009 0.05365 0.01801 0.00564 0.00163 0.00043 0.00010 0.00002 0.00000
1 0.77352 0.45028 0.22405 0.09908 0.03946 0.01419 0.00459 0.00132 0.00033 0.00007
2 0.94187 0.73380 0.47966 0.27134 0.13531 0.05995 0.02362 0.00823 0.00251 0.00066
3 0.98913 0.90180 0.72024 0.50103 0.30569 0.16455 0.07827 0.03278 0.01198 0.00377
4 0.99845 0.97181 0.87944 0.71635 0.51867 0.33265 0.18862 0.09417 0.04107 0.01544
5 0.99983 0.99358 0.95810 0.86708 0.71745 0.53438 0.35500 0.20876 0.10770 0.04813
6 0.99998 0.99883 0.98818 0.94873 0.86102 0.72170 0.54910 0.37428 0.22581 0.11894
7 1.00000 0.99983 0.99728 0.98372 0.94305 0.85932 0.72828 0.56344 0.39148 0.24034
8 0.99998 0.99949 0.99575 0.98065 0.94041 0.86094 0.73684 0.57785 0.40726
9 1.00000 0.99992 0.99909 0.99458 0.97903 0.94031 0.86529 0.74728 0.59274
10 0.99999 0.99984 0.99876 0.99393 0.97877 0.94235 0.87204 0.75966
11 1.00000 0.99998 0.99977 0.99857 0.99383 0.97972 0.94628 0.88106
12 1.00000 0.99997 0.99973 0.99856 0.99425 0.98171 0.95187
13 1.00000 0.99996 0.99974 0.99872 0.99509 0.98456
14 1.00000 0.99996 0.99979 0.99900 0.99623
15 1.00000 0.99997 0.99986 0.99934
16 1.00000 0.99999 0.99993
17 1.00000 1.00000
19 0 0.37735 0.13509 0.04560 0.01441 0.00423 0.00114 0.00028 0.00006 0.00001 0.00000
1 0.75471 0.42026 0.19849 0.08287 0.03101 0.01042 0.00313 0.00083 0.00019 0.00004
2 0.93345 0.70544 0.44132 0.23689 0.11134 0.04622 0.01696 0.00546 0.00153 0.00036
3 0.98676 0.88500 0.68415 0.45509 0.26309 0.13317 0.05914 0.02296 0.00772 0.00221
4 0.99799 0.96481 0.85556 0.67329 0.46542 0.28222 0.15000 0.06961 0.02798 0.00961
5 0.99976 0.99141 0.94630 0.83694 0.66776 0.47386 0.29676 0.16292 0.07771 0.03178
6 0.99998 0.99830 0.98367 0.93240 0.82512 0.66550 0.48117 0.30807 0.17266 0.08353
7 1.00000 0.99973 0.99592 0.97672 0.92254 0.81803 0.66557 0.48778 0.31693 0.17964
8 0.99996 0.99916 0.99334 0.97125 0.91608 0.81451 0.66748 0.49398 0.32380
9 1.00000 0.99986 0.99842 0.99110 0.96745 0.91253 0.81391 0.67104 0.50000
Continued on next page

23
TABLE 7 continued Binomial distribution; n = 19 (continued) and 20
n x p = 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
19 10 1.00000 1.00000 0.99998 0.99969 0.99771 0.98946 0.96531 0.91153 0.81590 0.67620
11 1.00000 0.99995 0.99952 0.99718 0.98856 0.96477 0.91287 0.82036
12 0.99999 0.99992 0.99938 0.99691 0.98844 0.96577 0.91647
13 1.00000 0.99999 0.99989 0.99933 0.99693 0.98907 0.96822
14 1.00000 0.99999 0.99988 0.99936 0.99724 0.99039
15 1.00000 0.99999 0.99990 0.99947 0.99779
16 1.00000 0.99999 0.99993 0.99964
17 1.00000 0.99999 0.99996
18 1.00000 1.00000
20 0 0.35849 0.12158 0.03876 0.01153 0.00317 0.00080 0.00018 0.00004 0.00001 0.00000
1 0.73584 0.39175 0.17556 0.06918 0.02431 0.00764 0.00213 0.00052 0.00011 0.00002
2 0.92452 0.67693 0.40490 0.20608 0.09126 0.03548 0.01212 0.00361 0.00093 0.00020
3 0.98410 0.86705 0.64773 0.41145 0.22516 0.10709 0.04438 0.01596 0.00493 0.00129
4 0.99743 0.95683 0.82985 0.62965 0.41484 0.23751 0.11820 0.05095 0.01886 0.00591
5 0.99967 0.98875 0.93269 0.80421 0.61717 0.41637 0.24540 0.12560 0.05533 0.02069
6 0.99997 0.99761 0.97806 0.91331 0.78578 0.60801 0.41663 0.25001 0.12993 0.05766
7 1.00000 0.99958 0.99408 0.96786 0.89819 0.77227 0.60103 0.41589 0.25201 0.13159
8 0.99994 0.99867 0.99002 0.95907 0.88667 0.76238 0.59560 0.41431 0.25172
9 0.99999 0.99975 0.99741 0.98614 0.95204 0.87822 0.75534 0.59136 0.41190
10 1.00000 0.99996 0.99944 0.99606 0.98286 0.94683 0.87248 0.75071 0.58810
11 1.00000 0.99990 0.99906 0.99486 0.98042 0.94347 0.86924 0.74828
12 0.99998 0.99982 0.99872 0.99398 0.97897 0.94197 0.86841
13 1.00000 0.99997 0.99974 0.99848 0.99353 0.97859 0.94234
14 1.00000 0.99996 0.99969 0.99839 0.99357 0.97931
15 0.99999 0.99995 0.99968 0.99847 0.99409
16 1.00000 0.99999 0.99995 0.99972 0.99871
17 1.00000 0.99999 0.99996 0.99980
18 1.00000 1.00000 0.99998
19 1.00000

24
TABLE 8 Critical values for the Durbin-Watson test for α = 0.05.
K is the number of independent variables and n is the number of observations.

K
1 2 3 4 5 6
n dL dU dL dU dL dU dL dU dL dU dL dU
15 1,08 1,36 0,95 1,54 0,81 1,75 0,69 1,98 0,56 2,22 0,45 2,47
16 1,11 1,37 0,98 1,54 0,86 1,73 0,73 1,94 0,62 2,16 0,50 2,39
17 1,13 1,38 1,02 1,54 0,90 1,71 0,78 1,90 0,66 2,10 0,55 2,32
18 1,16 1,39 1,05 1,54 0,93 1,70 0,82 1,87 0,71 2,06 0,60 2,26
19 1,18 1,40 1,07 1,54 0,97 1,69 0,86 1,85 0,75 2,02 0,65 2,21
20 1,20 1,41 1,10 1,54 1,00 1,68 0,89 1,83 0,79 1,99 0,69 2,16
21 1,22 1,42 1,13 1,54 1,03 1,67 0,93 1,81 0,83 1,96 0,73 2,12
22 1,24 1,43 1,15 1,54 1,05 1,66 0,96 1,80 0,86 1,94 0,77 2,09
23 1,26 1,44 1,17 1,54 1,08 1,66 0,99 1,79 0,90 1,92 0,80 2,06
24 1,27 1,45 1,19 1,55 1,10 1,66 1,01 1,78 0,93 1,90 0,84 2,04
25 1,29 1,45 1,21 1,55 1,12 1,65 1,04 1,77 0,95 1,89 0,87 2,01
26 1,30 1,46 1,22 1,55 1,14 1,65 1,06 1,76 0,98 1,87 0,90 1,99
27 1,32 1,47 1,24 1,56 1,16 1,65 1,08 1,75 1,00 1,86 0,93 1,97
28 1,33 1,48 1,26 1,56 1,18 1,65 1,10 1,75 1,03 1,85 0,95 1,96
29 1,34 1,48 1,27 1,56 1,20 1,65 1,12 1,74 1,05 1,84 0,98 1,94
30 1,35 1,49 1,28 1,57 1,21 1,65 1,14 1,74 1,07 1,83 1,00 1,93
31 1,36 1,50 1,30 1,57 1,23 1,65 1,16 1,74 1,09 1,83 1,02 1,92
32 1,37 1,50 1,31 1,57 1,24 1,65 1,18 1,73 1,11 1,82 1,04 1,91
33 1,38 1,51 1,32 1,58 1,26 1,65 1,19 1,73 1,13 1,81 1,06 1,90
34 1,39 1,51 1,33 1,58 1,27 1,65 1,21 1,73 1,14 1,81 1,08 1,89
35 1,40 1,52 1,34 1,58 1,28 1,65 1,22 1,73 1,16 1,80 1,10 1,88
36 1,41 1,53 1,35 1,59 1,30 1,65 1,24 1,72 1,18 1,80 1,11 1,88
37 1,42 1,53 1,36 1,59 1,31 1,66 1,25 1,72 1,19 1,80 1,13 1,87
38 1,43 1,54 1,37 1,59 1,32 1,66 1,26 1,72 1,20 1,79 1,15 1,86
39 1,44 1,54 1,38 1,60 1,33 1,66 1,27 1,72 1,22 1,79 1,16 1,86
40 1,44 1,54 1,39 1,60 1,34 1,66 1,29 1,72 1,23 1,79 1,18 1,85
45 1,48 1,57 1,43 1,62 1,38 1,67 1,34 1,72 1,29 1,78 1,24 1,84
50 1,50 1,59 1,46 1,63 1,42 1,67 1,38 1,72 1,34 1,77 1,29 1,82
55 1,53 1,60 1,49 1,64 1,45 1,68 1,41 1,72 1,37 1,77 1,33 1,81
60 1,55 1,62 1,51 1,65 1,48 1,69 1,44 1,73 1,41 1,77 1,37 1,81
65 1,57 1,63 1,54 1,66 1,50 1,70 1,47 1,73 1,44 1,77 1,40 1,81
70 1,58 1,64 1,55 1,67 1,53 1,70 1,49 1,74 1,46 1,77 1,43 1,80
75 1,60 1,65 1,57 1,68 1,54 1,71 1,52 1,74 1,49 1,77 1,46 1,80
80 1,61 1,66 1,59 1,69 1,56 1,72 1,53 1,74 1,51 1,77 1,48 1,80
85 1,62 1,67 1,60 1,70 1,58 1,72 1,55 1,75 1,53 1,77 1,50 1,80
90 1,64 1,68 1,61 1,70 1,59 1,73 1,57 1,75 1,54 1,78 1,52 1,80
95 1,65 1,69 1,62 1,71 1,60 1,73 1,58 1,76 1,56 1,78 1,54 1,80
100 1,65 1,69 1,63 1,72 1,61 1,74 1,59 1,76 1,57 1,78 1,55 1,80
150 1,72 1,75 1,71 1,76 1,69 1,77 1,68 1,79 1,67 1,80 1,65 1,82
200 1,76 1,78 1,75 1,79 1,74 1,80 1,73 1,81 1,72 1,82 1,71 1,83

25
26
TABLE 9 Cumulative distribution function for the Runs test.
Given the number of observations 𝑛, the table show the probability that the number of runs in a random time series is not
greater than 𝑅.
Example: P(R ≤ 3 | n = 10, random series ) = 0.040

K=2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
n=6 0,100 0,300 0,700 0,900 1,000

8 0,029 0,114 0,371 0,629 0,886 0,971 1,000

10 0,008 0,040 0,167 0,357 0,643 0,083 0,960 0,992 1,000

12 0,002 0,013 0,067 0,175 0,392 0,608 0,825 0,933 0,987 0,998 1,000

14 0,001 0,004 0,025 0,078 0,209 0,383 0,617 0,791 0,922 0,975 0,996 0,999 1,000

16 0,000 0,001 0,009 0,032 0,100 0,214 0,405 0,595 0,786 0,900 0,968 0,991 0,999 1,000 1,000

18 0,000 0,000 0,003 0,012 0,044 0,109 0,238 0,399 0,601 0,762 0,891 0,956 0,988 0,997 1,000 1,000 1,000

20 0,000 0,000 0,001 0,004 0,019 0,051 0,128 0,242 0,414 0,586 0,758 0,872 0,949 0,981 0,996 0,999 1,000 1,000 1,000