Thanks Kit. Getting back to the original question, Stephen had asked
If I use the "test" command after estimation, the results reported by
Stata is in F-distribution, but I want the results to be reported in
chi-square distribution with its associated p-value.
If it is simply a matter of him preferring to report chi-squares rather
than F values, then rather than go through the tedium of -lrtest-,
could he
just take the F value reported by test, and compute
chi-squared = (numerator degrees of freedom) * F
That seems to be the implication of this FAQ from Stata on chi-square
versus F:
http://www.stata.com/support/faqs/stat/wald.html
Indeed, that simple solution answers Stephen's original question. Your
earlier response proposed switching from Wald to likelihood ratio
tests. Asymptotically, all three tests are the same. In small samples,
one may draw different inferences, depending on whether the Wald, LM or
LLR tests are used.
