Re: st: wald test

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 09:10 PM 1/21/2007, Joseph Coveney wrote:
> Stata reports F statistics after -regress- (linear models) when testing
> multiple predictors jointly.  I'm not sure why you'd want a chi-square test
> statistic if you can obtain an F statistic, but you can use -glm- in order
> to obtain the chi-square statistic and associated p-value if you're working
> with linear models.  It's illustrated below.
>
> Joseph Coveney
>
> sysuse auto
> regress price mpg headroom trunk
> test mpg headroom trunk // F statistic
> glm price mpg headroom trunk, nolog
> test mpg headroom trunk // chi-square statistic
> exit
I just learned something new.  :)  Also see

http://www.stata.com/support/faqs/stat/wald.html

As it points out,

chi-squared = (numerator degrees of freedom) * F

So, using Joseph's example, in the regress command F(  3,    70) 
=    7.46.  Multiply by 3 and you get 22.38.  When you run the test 
command after glm, you indeed get chi2(  3) =   22.38.


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