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From |
"Christoph Engel" <engel@coll.mpg.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Wald test of joint significance of all regressors in a program, when using factor variables |

Date |
Thu, 06 Sep 2012 10:35:12 +0200 |

Dear readers of Stata list, Since it seems that this note, sent from my standard POP3 account, has never reached Stata list, I resend it from the webmailer. I apologize for any crossposting. Yesterday, I have received excellent advice from Maarten Buis on another problem I had with a program I am writing. This encourages me to send another note to the list, in hopes that someone has a hint to the solution of a second problem. My program is a maximum likelihood estimator with two separate components. The standard ML routine generates a Wald test for the joint significance of the regressors for the first component (and makes it appear to be an overall test). I want to remedy this by offering two separate Wald tests, one for each component. In principle this is easy test [eq1] indepvars1 test [eq2] indepvars2 Yet to ease the definition of independent variables, and in particular to enable margins, I have made factor variables available by syntax varlist(fv) Unfortunately, the standard syntax for a Wald test then no longer works. Shifting to the testparm syntax does not help either if some of the variables that are interacted are continuous. One can solve the problem by hand, by test [eq1] x y z x#y x#z y#z x#y#z (if one wants a saturated model), but it would be more convenient if I could program this step. Does anyone know how to do that? Thank you in advance for any advice Christoph Engel -- _________________________________________________________________ Prof. Dr. Christoph Engel Max-Planck-Institut zur Erforschung von Gemeinschaftsgütern Max Planck Institute for Research on Collective Goods Kurt-Schumacher-Strasse 10 D 53113 Bonn Tel. +49/228/91416-10 Fax +49/228/91416-11 e-mail:engel@coll.mpg.de http://www.coll.mpg.de http://www.coll.mpg.de/engel.html http://ideas.repec.org/e/pen22.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=251559 _________________________________________________________________ * * 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/

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