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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

* dfnum= degrees of freedom associated with the numerator

* fprb= degrees of freedom associated with the denominator

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

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