On 28 December 2012 14:29, Allin Cottrell <cottrell@wfu.edu> wrote:

On Fri, 28 Dec 2012, Clive Nicholas wrote:

> May I come back to (either of) you on my Wald/F-test query? When you sayYes.

> the F-test score should be multiplied to give the Wald test score,

> presumably the multiplier is the number of restrictions in the test?

Well, no. The chi-square p-value, being asymptotic, is

> 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!

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

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Clive Nicholas (clivenicholas.posterous.com)

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"My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson