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