Date: Wed, 9 Apr 2003 11:22:04 -0400 Jay Weedon "SAS(r) Discussion" Jay Weedon http://extra.newsguy.com Re: Wald Test in SAS text/plain; charset=us-ascii

On Wed, 9 Apr 2003 08:25:45 +0200, "L. Kaminski" <leonneon@web.de> wrote:

>Hi, > >> Well...I'm not sure what role the different observations play, but in >> order to carry out a Wald test you need the variance-covariance matrix of >> the parameter estimates. You don't indicate that you have this in your >> email. > >The parameters a to e are estimated by the GMM Modell. So I think I can get >the variance-covariance matrix. Can you tell me, where I find a sample, what >the SAS Programm would look like to do the Wald Test?

It's a straightforward application of matrix algebra, so the simplest approach would be to use SAS/IML.

The formula is as follows:

If e is a column vector of estimates, and V is its estimated covariance matrix, then the Wald statistic is given by

W = Transpose(e) x Inverse(V) x e.

You can use the probchi() function or whatever to obtain a p-value.

JW

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