Name

waldf0 — Wald F-test

CALLING SEQUENCE

[fstat,fprb,dfnum,dfden]=waldf0(resultr,resultu)

PARAMETERS

Input

• resultr = results tlist from ols() restricted regression

• resultu = results tlist from ols() unrestrcted regression

Output

• fstat = {(essr - essu)/#restrict}/{essu/(nobs-nvar)}

• fprb = marginal probability for fstat

DESCRIPTION

Computes Wald F-test for two regressions. Results are stored as numbers and are not displayed on screen.

EXAMPLE


load(GROCERDIR+'data/bdhenderic.dat');
bounds('1964q3','1989q2');
r1=ols('delts(lm1-lp)','delts(lagts(1,lm1-lp-ly))', 'lagts(1,lm1-lp-ly)', 'const');
r2=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
[fstat,f_pvalue,dfnum,dfden]=waldf0(r1,r2)
 
// Useful mainly for programming purpose (since jbnorm does much more). 

               

AUTHOR

Eric Dubois 2002