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From |
Richard Williams <richardwilliams.ndu@gmail.com> |

To |
statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 21 Jul 2011 23:49:40 -0500 |

At 10:27 PM 7/21/2011, John Luke Gallup wrote:

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

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------------------------------------------- Richard Williams, Notre Dame Dept of Sociology OFFICE: (574)631-6668, (574)631-6463 HOME: (574)289-5227 EMAIL: Richard.A.Williams.5@ND.Edu WWW: http://www.nd.edu/~rwilliam * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: VEC: t- instead of z-statistics***From:*Barbara Engels <engels.ba@gmail.com>

**References**:**st: VEC: t- instead of z-statistics***From:*Barbara Engels <engels.ba@gmail.com>

**Re: st: VEC: t- instead of z-statistics***From:*John Luke Gallup <jlgallup@pdx.edu>

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