[Gretl-users] Re: Wald test save results
Am 20.07.2022 um 19:20 schrieb Filipe R. Costa:
Hi all,
Is it possible to capture the results from Wald tests linear
restrictions similarly to what we can do with $model into a bundle?
Let me use an example file from Gretl:
<hansl>
open AWM18.gdt
# model 1
ols YER const PCR GCR
bundle bundle1 = $model
# Apply the linear restriction
restrict
b[2]-b[3]=0
end restrict
</hansl>
I'm interested in the test statistic, p-value and eventually degrees
of freedom. Any very simple way to retrieve them, without computing
manually from bundle1 results?
Yes, for that you have the $test, $pvalue, and $df accessors, where the
latter refers to the underlying model, so in terms of the Wald test it
will be the denominator d.o.f. of the F test stat.
As for the numerator d.o.f., I'm afraid you would have to figure these
out by yourself, but since you specified the hypothesis, that shouldn't
be a problem. (In this case, it's a single restriction, so 1.)
So overall, the following should yield TRUE/1 in your case of a single
restriction:
eval pvalue("F", 1, $df, $test) == $pvalue
cheers
sven
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