```Date: Wed, 9 Apr 2003 11:22:04 -0400 Reply-To: Jay Weedon Sender: "SAS(r) Discussion" From: Jay Weedon Organization: http://extra.newsguy.com Subject: Re: Wald Test in SAS Content-Type: text/plain; charset=us-ascii On Wed, 9 Apr 2003 08:25:45 +0200, "L. Kaminski" 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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