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st: general F test


From   David Airey <david.airey@vanderbilt.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: general F test
Date   Fri, 20 Jun 2003 14:39:56 -0500

Dear List,

When I took a regression course a while back, I learned the general F test for testing whether the addition of a set of predictors explains more of the response. The general F test is:

(RSS(reduced) - RSS(full))/p2
F = ------------------------------
RSS(full)/(n-p)

Anyway, Stata provides Wald tests via the command -test- and likelihood ratio tests via -lrtest-. I seem to have read here a few times and in the manuals that -lrtest- is preferred when possible. I don't remember any discussion of this general F test that I'm more familiar with.

Is the general F test for regression (continuous Y) the same as both the test and lrtest commands? I gather they must be more general.

Has anyone implemented the general F test for regression, or do I need to gather the bits and pieces together from running the two models?

-Dave

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