[Gretl-users] Wald test for joint significance of time dummies
Dear Allin Cottrell,
I would like to ask 2 questions:
1* I am doing panel data analysis with --time-dummies option. There is
a Wald test for joint significance of time dummies implemented in
Gretl. I just want to be sure that the null hypothesis is "none of
these regressors (years) has any effect on the explained variable". So
if Chi-square(9) = 505.436 with p-value = 3.9413e-103, it means that I
should reject H0, so as a result the time-dummies should be in the
model.
Gretl Result (for panel regression with --time----time-dummies option)
Wald test for joint significance of time dummies
Asymptotic test statistic: Chi-square(9) = 505.436
with p-value = 3.9413e-103
2* My humble recommendation -
I am wondering, whether the expression "Wald test for joint NON
significance of time dummies" OR "Null hypothesis - all regressors are
zero" would not be better for nonadvanced users (like me) to derive
the proper results more easily.
Have a nice day and I wish you all the best in work (gretl is the
excellent tool) and also in personal life.
Stanislav Klazar, Prague, Czech Republic