Re: st: Can I control the output of --test--?

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

At 05:11 AM 6/1/2007, PatrickT@umac.mo wrote:
> Hi there,
>
> According to stata/help, the command --test-- perform a Wald test, but
> outputs the F-statistic rather than the (related) Wald-statistic. Is there
> a way to fix that? (and if not, why?)
>
> I have also noticed a difference between the output of --test-- following a
> call to --reg-- and a call to --logit--. A call to --logit-- outputs a chi2
> (the Wald-statistic) while a call to --reg-- outputs an F.
>
> Is there a simple way to output chi2 after a call to --reg-- and --test-- ?
You could use the glm command instead, e.g.

. sysuse auto, clear
(1978 Automobile Data)

. quietly glm price mpg foreign

. test mpg foreign

 ( 1)  [price]mpg = 0
 ( 2)  [price]foreign = 0

           chi2(  2) =   28.14
         Prob > chi2 =    0.0000


Or, you might consider using nestreg with the lr option, and/or the 
lrtest command, e.g.

. sysuse auto
(1978 Automobile Data)

. nestreg, lr store(m) quietly: reg price mpg foreign weight

Block  1: mpg
Block  2: foreign
Block  3: weight

  +----------------------------------------------------------------+
  | Block |        LL       LR     df  Pr > LR       AIC       BIC |
  |-------+--------------------------------------------------------|
  |     1 | -686.5396    18.35      1   0.0000  1377.079  1381.687 |
  |     2 |   -683.36     6.36      1   0.0117   1372.72  1379.632 |
  |     3 |  -670.099    26.52      1   0.0000  1348.198  1357.414 |
  +----------------------------------------------------------------+

. lrtest m1 m3, stats

Likelihood-ratio test                                  LR chi2(2)  =     32.88
(Assumption: m1 nested in m3)                          Prob > chi2 =    0.0000

------------------------------------------------------------------------------
       Model |    Obs    ll(null)   ll(model)     df          AIC         BIC
-------------+----------------------------------------------------------------
          m1 |     74   -695.7129   -686.5396      2     1377.079    1381.687
          m3 |     74   -695.7129    -670.099      4     1348.198    1357.414
------------------------------------------------------------------------------

The latter gives a likelihood ratio test of whether the effects of 
foreign and/or weight differ from 0.

------------------------------------------
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

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