Wald test

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startz
Non-normality and collinearity are NOT problems!
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Re: Wald test

Postby startz » Wed Apr 23, 2014 11:38 am

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.

EViews Glenn
EViews Developer
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Joined: Wed Oct 15, 2008 9:17 am

Re: Wald test

Postby EViews Glenn » Wed Apr 23, 2014 2:48 pm

The idea that both startz and I are getting at is that when you compute the Wald test for

Code: Select all

c(3)=c(4)=0
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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