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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
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