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waldf

Wald F-test

CALLING SEQUENCE

[resulwa]=waldf(resultr,resultu,np)

PARAMETERS

Input

* 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

 

Output

* 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

DESCRIPTION

Computes Wald F-test for two regressions. 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');
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.

AUTHOR

Eric Dubois 2002

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