Likelihood Ratio Tests
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چکیده
Previously, we have employed a program (Jtest) to test an hypothesis involving many parameters (multiple constraints). This test, which involves comparing parameter estimates with hypothesized values, is known as a Wald test. We also used the Jtest program to compare two di¤erent estimators in a Hausman test. There is an alternative method for conducting joint tests, which can be implemented easily both from within and outside of Gauss. In this handout, we will rst discuss this method in general and then see how it works in the familiar context of a linear regression model.
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