On Thu, August 31, 2006 13:08, Riccardo Jack Lucchetti"" wrote:
Therefore, my proposal (which probably involves some work, but not
about appending a --wald option to "omit", by which we carry out the test by
the "restrict" machine instead of the default?
Attached you'll find a proof of concept: a diff file to apply to current CVS
which adds the --wald option to the omit command and a sample script. The neat
thing, embodied in the very idea of the Wald test, is that we don't need to
estimate the restricted model at all, so
1) the CPU time for computing the test statistic is very small (this could be
a problem with large datasets);
2) the Wald approach is applicable whenever missing values get in the way of
comparing the two models.
Allin, if you like the idea, please consider that my implementation is still
very rough (especially wrt the model<->model stuff), and you'll have to
sort out the mess I'll have certainly made; to make things worse, the code in
the patch is almost comment-free. I wouldn't mind at all if this went in after
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"