wald.fct: Wald Test.

Description

wald.fct computes F test statistics and corresponding p-values for `pdynmc` objects.

Usage

wald.fct(object, param)

Arguments

object

An object of class `pdynmc`.

param

A character string that denotes the null hypothesis. Choices are time.dum (i.e., all time dummies are jointly zero), slope (i.e., all slope coefficients are jointly zero), and all (i.e., all dummies and slope coefficients are jointly zero).

Value

An object of class `htest` which contains the F test statistic and corresponding p-value for the tested null hypothesis.

Details

The three available null hypothesis are: All time dummies are jointly zero, all slope coefficients are jointly zero, all times dummies and slope coefficients are jointly zero.

Examples

Run this code

# NOT RUN {
## Load data from plm package
if(!requireNamespace("plm", quietly = TRUE)){
 stop("Dataset from package \"plm\" needed for this example.
 Please install the package.", call. = FALSE)
} else{
 data(EmplUK, package = "plm")
 dat <- EmplUK
 dat[,c(4:7)] <- log(dat[,c(4:7)])
 dat <- dat[c(140:0), ]

## Code example
 m1 <- pdynmc(dat = dat, varname.i = "firm", varname.t = "year",
    use.mc.diff = TRUE, use.mc.lev = FALSE, use.mc.nonlin = FALSE,
    include.y = TRUE, varname.y = "emp", lagTerms.y = 2,
    fur.con = TRUE, fur.con.diff = TRUE, fur.con.lev = FALSE,
    varname.reg.fur = c("wage", "capital", "output"), lagTerms.reg.fur = c(1,2,2),
    include.dum = TRUE, dum.diff = TRUE, dum.lev = FALSE, varname.dum = "year",
    w.mat = "iid.err", std.err = "corrected", estimation = "onestep",
    opt.meth = "none")
 wald.fct(param = "all", m1)
}

# }
# NOT RUN {
## Load data from plm package
if(!requireNamespace("plm", quietly = TRUE)){
 stop("Dataset from package \"plm\" needed for this example.
 Please install the package.", call. = FALSE)
} else{
 data(EmplUK, package = "plm")
 dat <- EmplUK
 dat[,c(4:7)] <- log(dat[,c(4:7)])

## Further code example
 m1 <- pdynmc(dat = dat, varname.i = "firm", varname.t = "year",
    use.mc.diff = TRUE, use.mc.lev = FALSE, use.mc.nonlin = FALSE,
    include.y = TRUE, varname.y = "emp", lagTerms.y = 2,
    fur.con = TRUE, fur.con.diff = TRUE, fur.con.lev = FALSE,
    varname.reg.fur = c("wage", "capital", "output"), lagTerms.reg.fur = c(1,2,2),
    include.dum = TRUE, dum.diff = TRUE, dum.lev = FALSE, varname.dum = "year",
    w.mat = "iid.err", std.err = "corrected", estimation = "onestep",
    opt.meth = "none")
 wald.fct(m1, param = "all")
}
# }
# NOT RUN {

# }