Sample correlation t-test

CFA Level II Quant
#1

Hi all

Wondering if anyone can help.

I’m trying to get familiar with all of the statistics in Quant Methods by playing with data in Excel and also using the Excel functions to get more familiar with those too.

However, I can’t find any Excel function for the t-test in LOS 11c, (p282 2013 LII Volume 1, formula 3).

For the critical t-value, seems the excel function is =TINV() but would anyone happen to know for the test statistic if there is a direct function in Excel?

Would be greatly appreciated!

Thank you,

Mr Pink

#2

http://office.microsoft.com/en-us/excel-help/t-test-function-HP010335701.aspx

#3

Thanks for your reply, but I don’t think this is what I’m looking for, since I’m looking to test the significance of the correlation coefficient:

. The formula is the top formula here: http://pages.uoregon.edu/stevensj/MRA/correlat.pdf

but wonder if there is a direct Excel function for this formula.

Thanks

#4

the function the other guy mentioned can be used…

In the exam we usually test if something is significantly different from 0, so all you have to do is use t.test and use your array against an array of 0s

#5

hi, thanks, but I’m not quite sure what you mean “against an array of 0s”. I’m trying to get the same value, 3.532, as in Example 7, p282, Volume 1, in the CFA readings.

Wouldn’t the arrays in this example be the Money Supply Growth rates and the Inflation Rates? Then =t.test doesn’t give you 3.532… Obviously I’m doing something wrong or it should be another formula?

Using =TINV() we get 2.776 for the critical value. So the test statistic of 3.532 is higher than this critical value so we can reject the null, corr = 0. So how to use Excel to get this 3.532?

Thanks for your help!

#6

You can write a macro with the formula (input of N and sample correlation) - fairly simple.