On Thu, 27 Dec 2012, Riccardo (Jack) Lucchetti wrote: > On Wed, 26 Dec 2012, Clive Nicholas wrote: > >> Hello all! >> >> I've just joined the list and I'm a brand new user of -gretl-. I've only >> been using it for three days and I must praise the team for delivering a >> highly usable, flexible and interactive package that runs pretty much all >> of the econometric models that I want to fit (and a big, fat users' guide, >> too!) - and for free. Can't say fairer than that. > > Glad you like gretl. Welcome to the community! > >> I do have one query, however. Following Allison (2009), I'm seeking to >> implement his alternative to the Hausman test after fitting a random >> effects panel model, which he argues has "probably better statistical >> properties" than Hausman. > > [...] > >> Everything goes to plan until I try to implement step (f). Clicking on the >> Tests tab and then selecting Lingg ear Restrictions, I typed: >> >> b[m_n] = b[d_n] >> >> but I receive a "parse error in 'b[m_n] = b[d_n]'" error message. Deleting >> the spaces either side of the = made no difference. I only got results by >> running: >> >> Restriction set >> 1: b[m_n] - b[d_n] = 0 >> 2: b[m_k] - b[d_k] = 0 >> 3: b[m_ys] - b[d_ys] = 0 > > When you write restrictions for the "restrict" command, no coefficients must > appear on the right-hand side of the equality. This is stated in the > documentation. > >> Test statistic: F(3, 1016) = 3.27298, with p-value = 0.0205637 >> >> This test would appear to comprehensively reject the RE model in favour of >> retaining the FE model. Or does it? Is this an acceptable test in place of >> the Wald test for jointly equal parameters that I can't run in -gretl-?
I'd just add to Jack's reply: this _is_ a Wald test for jointly equal parameters (the F-form of the test). If you multiply the test statistic by 3 and refer it to the chi-square(3) distribution you get the same p-value as given above. Allin Cottrell
