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st: wald test, one-sided test not appropriate
From
"Scharnigg, Stan (Stud. SBE)" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: wald test, one-sided test not appropriate
Date
Tue, 7 Jun 2011 19:48:15 +0200
Dear statalisters,
I have the following regression:
regress var1 var2 var3,
where var1, var2, var3 are B1, B2, B3 respectively.
Hypothesis:
H0: B1 + B1 + B1 >= 0
Someone told me that I could use a Wald test to test this. I used the FAQ: http://www.stata.com/support/faqs/stat/oneside.html
then, I did the following:
regress var1 var2 var3
local sign_var1 = sign(_b[var1])
local sign_var2 = sign(_b[var2])
local sign_var3 = sign(_b[var3])
display "Ho: coef >= 0 p-value = " 1-ttail(r(df_r),`sign_var sign_var2 sign_var3'*sqrt(r(F)))
However, at the end of the page there is written:
"Again, this approach (performing a Wald test and using the results to calculate the p-value for a one-sided test) is appropriate only when the Wald F statistic has 1 degree of freedom in the numerator"
My degrees of freedom is 3 in this case. So, this test is not appropriate.
Why is it not appropriate and how could I solve this?
Thank you very much
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