Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

re: st: Re: Chi-square test for the joint significance of slope


From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   re: st: Re: Chi-square test for the joint significance of slope
Date   Sat, 26 Mar 2011 13:43:47 -0400

<>

My problem is the following: I need to calculate the Wald statistic that the
slope coefficients are jointly zero. The caveat is that the chi-squared
statistics should be computed with 18 Newey-West lags.

Do you have any suggestions for this?


If you estimate an equation with HAC standard errors (e.g., with -newey-) any test statistics computed from that set of point and interval estimates will also be robustified, or HAC.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index