Wald F-test
[fstat,fprb,dfnum,dfden]=waldf0(resultr,resultu)
* resultr = results tlist from ols() restricted regression
* resultu = results tlist from ols() unrestrcted regression
* fstat = {(essr - essu)/#restrict}/{essu/(nobs-nvar)}
* fprb = marginal probability for fstat
* dfnum= degrees of freedom associated with the numerator
* fprb= degrees of freedom associated with the denominator
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). | ![]() | ![]() |