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Re: st: VEC: t- instead of z-statistics
From
Richard Williams <[email protected]>
To
[email protected], [email protected]
Subject
Re: st: VEC: t- instead of z-statistics
Date
Thu, 21 Jul 2011 23:49:40 -0500
At 10:27 PM 7/21/2011, John Luke Gallup wrote:
The coefficient test statistics reported after most estimation
models are z-statistics because we only know their asymptotic
distribution (even if we assume that the errors are normally
distributed). Only with simple linear models, like OLS, where the
coefficients are linear functions of the y's, and only when we
assume the errors are normally distributed, do the coefficient test
statistics have a known small sample distribution - a
t-distribution. Note that a t-statistic is equal to a z-statistic
asymptotically.
Since the VEC is not a linear estimator, it does not report t-statistics.
Please join in if you see any problems with what I said.
Potential gap/flaw in that reasoning? When data are svyset, we get
t-statistics rather than z-stats, e.g.
webuse nhanes2f
svy: logit diabetes age black female
I'm not sure what the moral of that is, but Stata does report t
statistics in many more situations than just after OLS.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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