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Re: st: Test of intercepts across OLS regressions


From   Jared DeLisle <rjd1867@fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test of intercepts across OLS regressions
Date   Thu, 06 Nov 2008 09:01:07 -0500

Thanks for your reply, Johan. Gibbons, Ross, & Shanken (1989) show that using a Wald chi-square statistic to test the joint hypothesis that all intercepts equal zero can lead to over-rejection of the null (Type I error). Is this reference you posted simply suggesting that I divide my chi-square statistic by the degrees of freedom to arrive at the F-statistic?

Thanks again,
Jared


Johan Hellstrom wrote:
It sounds to me that you could use 'test' or 'testparm' to test if the
intercepts, a1...a10, are jointly equal to zero.
http://www.stata.com/support/faqs/stat/wald.html


Best,
Johan Hellström



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