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Re: st: VEC: t- instead of z-statistics


From   John Luke Gallup <jlgallup@pdx.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: VEC: t- instead of z-statistics
Date   Thu, 21 Jul 2011 20:27:26 -0700

The coefficient test statistics reported after most estimation models are z-statistics because we only know their asymptotic distribution (even if we assume that the errors are normally distributed).  Only with simple linear models, like OLS, where the coefficients are linear functions of the y's, and only when we assume the errors are normally distributed, do the coefficient test statistics have a known small sample distribution - a t-distribution.  Note that a t-statistic is equal to a z-statistic asymptotically.   

Since the VEC is not a linear estimator, it does not report t-statistics.

Please join in if you see any problems with what I said.

John

On Jul 21, 2011, at 10:33 AM, Barbara Engels wrote:

> Dear Statalist,
> 
> I want to warm up a question that has been asked in April but not answered so far. 
> 
> In a VEC, all reported statistics are z-statistics; in published empirical studies, however, mostly t-statistics are reported. I would prefer the t-statistics but I don't find a switch to change it...
> 
> Any recommendations?
> Thanks for helping!
> Barbara
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