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.