Re: [Gretl-users] Thanks on Allison's alternative Hausman test / No joy on PCSEs

On Fri, 28 Dec 2012, Clive Nicholas wrote: > May I come back to (either of) you on my Wald/F-test query? When you say > the F-test score should be multiplied to give the Wald test score, > presumably the multiplier is the number of restrictions in the test? Yes. > Even if this is correct, I don't _quite_ get the same > P-values: > > (After running the GLS RE model on my pooled panel data:) > Test statistic: F(5, 749) = 4.65984, with p-value = 0.000339063 > > Chi-square(5): area to the right of 23.2992 = 0.000295879 > (to the left: 0.999704) > > They're close, but not exact! Well, no. The chi-square p-value, being asymptotic, is equivalent to the p-value of the corresponding F-test with infinite degrees of freedom in the denominator -- and 749 is not quite infinity. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users