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From |
icanette@stata.com (Isabel Canette, StataCorp) |

To |
statalist <statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 06 Sep 2012 17:06:03 -0500 |

Christoph Engel <engel(at)coll(dot)mpg(dot)de> asked how to perform a Wald test after fitting a two-equation model with -ml-. By default, -ml- reports a Wald test for all the terms in the first equation. However, Christoph can choose the equation by using the following syntax: test [eqno] In order to perform a test on some of the terms in one equation, the -testparm- command will work with factor variables. Here is an example: cscript program mynormal_lf version 12 args lnf mu lnsigma quietly replace `lnf' = /// ln(normalden($ML_y1,`mu',exp(`lnsigma'))) end sysuse auto ml model lf mynormal_lf (mu: mpg = i.rep#c.disp head) /// (lnsigma: i.for#c.turn) ml max *test the terms in the first equation test [mu] *test the terms in the second equation test [lnsigma] *test the term i.rep#c.disp using testparm testparm i.for#c.turn, eq(lnsigma) If this solution does not address the particular problem that Christoph needs to solve, he can send us his dataset and his code to techsupport@stata.com, and we'll be glad to provide further assistance. -- Isabel icanette(at)stata(dot)com * * 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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