Date: Wed, 9 Apr 2003 11:22:04 -0400
Reply-To: Jay Weedon <jweedon@EARTHLINK.NET>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: Jay Weedon <jweedon@EARTHLINK.NET>
Subject: Re: Wald Test in SAS
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On Wed, 9 Apr 2003 08:25:45 +0200, "L. Kaminski" <firstname.lastname@example.org>
>> 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
>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.