samedi 11 août 2018

Likelihood ratio test in R

I have 2 linear models I have run in R

model_1_regression <- lm(model_1$ff4f_actual_excess_return_month1 ~ model_1$Rm.Rf + 
                         model_1$SMB + 
                         model_1$HML + 
                         model_1$MOM, 
                         na.action=na.exclude)

and

model_1_mom_1_regression <- lm(model_1_mom_1$ff4f_actual_excess_return_month1 ~ model_1_mom_1$Rm.Rf + 
                               model_1_mom_1$SMB + 
                               model_1_mom_1$HML + 
                               model_1_mom_1$MOM +
                               model_1_mom_1$mom_to_add,
                               na.action=na.omit)

and I would like to run a likelihood ratio test to see if the additional factor added is significant. How can I do this, and how can I interpret the results shown?

Many thanks

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