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st: Re: hypothesis tests


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: hypothesis tests
Date   Tue, 30 Dec 2003 07:14:14 -0500

On Dec 30, 2003, at 2:33 AM, Richard wrote:

Thanks Kit.  Getting back to the original question, Stephen had asked

If I use the "test" command after estimation, the results reported by
Stata is in F-distribution, but I want the results to be reported in
chi-square distribution with its associated p-value.
If it is simply a matter of him preferring to report chi-squares rather
than F values, then rather than go through the tedium of -lrtest-, could he
just take the F value reported by test, and compute

chi-squared = (numerator degrees of freedom) * F

That seems to be the implication of this FAQ from Stata on chi-square versus F:

http://www.stata.com/support/faqs/stat/wald.html

Indeed, that simple solution answers Stephen's original question. Your earlier response proposed switching from Wald to likelihood ratio tests. Asymptotically, all three tests are the same. In small samples, one may draw different inferences, depending on whether the Wald, LM or LLR tests are used.

Kit

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