Thanks for your reply, Johan. Gibbons, Ross, & Shanken (1989) show that
using a Wald chi-square statistic to test the joint hypothesis that all
intercepts equal zero can lead to over-rejection of the null (Type I
error). Is this reference you posted simply suggesting that I divide my
chi-square statistic by the degrees of freedom to arrive at the F-statistic?
Thanks again,
Jared
Johan Hellstrom wrote:
It sounds to me that you could use 'test' or 'testparm' to test if the
intercepts, a1...a10, are jointly equal to zero.
http://www.stata.com/support/faqs/stat/wald.html
Best,
Johan Hellström
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