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re: st: Re: Chi-square test for the joint significance of slope


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: Re: Chi-square test for the joint significance of slope
Date   Sat, 26 Mar 2011 13:43:47 -0400

<>

My problem is the following: I need to calculate the Wald statistic that the
slope coefficients are jointly zero. The caveat is that the chi-squared
statistics should be computed with 18 Newey-West lags.

Do you have any suggestions for this?


If you estimate an equation with HAC standard errors (e.g., with -newey-) any test statistics computed from that set of point and interval estimates will also be robustified, or HAC.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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