Wald test
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startz
- Non-normality and collinearity are NOT problems!
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Re: Wald test
You might want to post screen shots of the two tests that disagree. Wald tests of linear restrictions will agree with redundant variable tests in a linear regression, but need not in a nonlinear operation such as probit. However, it is unusual for the results to be very different.
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EViews Glenn
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Re: Wald test
The idea that both startz and I are getting at is that when you compute the Wald test for
you are testing the joint hypothesis that C(3) and C(4) are equal to zero. The individual t-statistics are giving you the individual probabilities for the two equalities. It is not uncommon for joint testing to reject a hypothesis while the individual hypotheses do not reject as described by startz above.
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c(3)=c(4)=0Return to “Econometric Discussions”
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