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: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of Martin Ivanov > Sent: Thursday, April 05, 2007 1:02 PM > To: [email protected] > 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 > > ______________________________________________ > [email protected] 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. > ______________________________________________ [email protected] 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.
