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Re: st: Test of intercepts across OLS regressions

From   Maarten buis <>
Subject   Re: st: Test of intercepts across OLS regressions
Date   Thu, 6 Nov 2008 14:18:04 +0000 (GMT)

--- Jared DeLisle <> wrote:
> 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). 

These finite sample corrections typically only have a noticeable
influence in very small dataset or when you are testing a huge amount
of paramters. In either case the test is suspect anyhow. 

-- Maarten

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room N515

+31 20 5986715

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