Wald F-test
[resulwa]=waldf(resultr,resultu,np)
* resultr = results tlist from ols() restricted regression
* resultu = results tlist from ols() unrestricted regression
* np = 'noprint' if the user does not want to print the results
* resulbp = a results tlist with:
- resultbp('meth') = 'waldf'
- resultbp('runcons') = results tlist of the un restricted regression
- resultbp('rcons') = results tlist of the restricted regression
- resultbp('f') = Wald F-statistic
- resultbp('dfnum') = degrees of freedom of the numerator
- resultbp('dfden') = degrees of freedom of the denominator
- resultbp('f_pvalue') = p-value of the test
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'); rwaldf=waldf(r1,r2) // This example provides the Fisher satistics corresponding to the restriction r1 imposes over r2. | ![]() | ![]() |