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waldchi

Wald F-test

CALLING SEQUENCE

resw=waldchi(R,r,resu,np)

PARAMETERS

Input

* R = a (q x n-beta) matrix of linear constraints

* r = a (q x 1) vector of linear constraints values

* resu = a results tlist from an ols(), pfixed() regression

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

 

Output

* resw = a results tlist with:

  - resw('meth') = 'waldchi'

  - resw('runcons') = results tlist of the unrestricted regression

  - resw('chi') = Wald Chi-squared statistic

  - resw('def') = degrees of freedom of the chi2

  - resw('chi_pvalue') = p-value of the test

  - resw('R') = (q x n-beta) matrix of linear constraints

  - res('r') = q-vector of linear constraints values

DESCRIPTION

Computes Wald Chi-squared test for linear constraints on parameters. Results are stored in a tlist and displayed on screen if the user has not given as second argument 'noprint'.

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1))',...
'delts(lagts(1,lp))','delts(lagts(1,ly))','rnet','lagts(1,lm1-lp-ly)','cte');
 
 
// calling b the vector of coefficents, the constraints are:
// b2=-b3 and b2=-b4
// hence:
// * R= [0 1 1 0 0 0 0 ]
//      [ 0 1 0 1 0 0 0]
// and r = [0]
//         [0]
R=[0 1 1 0 0 0 0 ; 0 1 0 1 0 0 0];
r=[0;0];
waldchi(R,r,rols);

AUTHOR

Emmanuel Michaux 2012

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