Re: [R] about systemfit

From: John Fox <jfox_at_mcmaster.ca>
Date: Thu 05 Apr 2007 - 17:45:05 GMT


Dear Martin,

Note that the F-test provided by linear.hypothesis() in the car package appears to agree with the Wald test provided by both linear.hypothesis() and waldtest.systemfit(), while ftest.systemfit() gives a much smaller p-value and an F that's even larger than the Wald chisquare. This suggests to me that the first place to look for a problem is in ftest.systemfit().

Regards,
 John



John Fox
Department of Sociology
McMaster University
Hamilton, Ontario
Canada L8S 4M4
905-525-9140x23604
http://socserv.mcmaster.ca/jfox

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch
> [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Martin Ivanov
> Sent: Thursday, April 05, 2007 1:02 PM
> To: r-help@stat.math.ethz.ch
> Subject: [R] about systemfit
>
> Thank you very much for your responsiveness. Here are the
> tests that show the same results, as they must:
>
> linear.hypothesis(model=adfResulm,hypothesis.matrix=Rrestr10,t
> est="Chisq"):
> Res.Df RSS Df Sum of Sq Chisq Pr(>Chisq)
> 1 127 7.3782
> 2 137 7.6848 -10 -0.3066 5.2769 0.872
>
> waldtest.systemfit(object=adfResu,R.restr=Rrestr10):
>
> Wald-test for linear parameter restrictions in equation systems
> Wald-statistic: 5.277
> degrees of freedom: 10
> p-value: 0.8719
>
> So the Chisq test with linear.hypothesis from car and the
> waldtest.systemfit give the same output. But the F test with
> linear.hypothesis from car and ftest.systemfit give
> absolutely different results, as I demonstrated in my first
> post. I have no idea why.
>
> Regards,
> Martin
>
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>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri Apr 06 04:02:59 2007

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