[Gretl-users] Wald test in models for panel data

[Allin Cottrell]

On Tue, 4 Sep 2007, Mariusz Doszy? wrote:

> Do you know formula for Wald test statistic (of joint 
> significance of 0-1 time variables) in case of models for panel 
> data with fixed effects?

Well, it's just the standard formula.  In gretl you can do

omit dt_*

for the F-form of the test, based on the restricted and 
unrestricted sums of squared residuals

or

omit dt_* --wald

for the chi-square form, based on the covariance matrix for the
unrestriced estimates.

-- 
Allin Cottrell
Department of Economics
Wake Forest University, NC