Name

gmmWald — Wald test

CALLING SEQUENCE

rwd = gmmWald(rgmm,R,r,np)

PARAMETERS

Input

• rgmm = tlist result for unrestricted estimation

• R = is the (s x #parameters) R matrix of linear constraints in Rb = r

• r = (s x 1) r vector in Rb = r

• np = 'noprint' if the user does not want to print the results

Output

• rwd a tlist which arguments can be:

  -rwd('chistat') = test statisitc

  -rwd('pvalue') = pvalue of the test

  -rwd('df') = number restriction

DESCRIPTION

Performs linear Wald test for GMM

EXAMPLE

Examples taken from gmmLin_d() : R = [1 0 0];r = 0; rw=gmmWald(uout,R,r);
Test if the first parameter is null
 
 
               

AUTHOR

Emmanuel Michaux 2007