wald_test {lineartestr}

Wald test. Tests restrictions*coefficients = value.

Description

Wald test. Tests restrictions*coefficients = value.

Usage

wald_test(
  model,
  restrictions,
  value,
  robust = FALSE,
  vcov = NULL,
  quantiles = c(0.9, 0.95, 0.99)
)

Arguments

model

Model compatible with 'fitted' and 'residuals' functions.

restrictions

Matrix of size (number of restrictions) times length(coefficients), for free restrictions use zeros.

value

Values of restrictions.

robust

Use robust 'varcov' matrix.

vcov

Particular variance and covariances matrix.

quantiles

Vector of quantiles to calculate pvalues.

Value

A 'tibbble' with the Wald value, the corresponding pvalue and the quantiles of the distribution.

Examples

x <- 1:10
z <- x**2
y <- 1:10
model <- lm(y~x+z)
restrictions <- diag(3)
value <-  as.matrix(c(0, 0, 0))
w_test <- wald_test(model, restrictions, value)
w_test <- wald_test(model, restrictions, value, robust = TRUE)
w_test <- wald_test(model, restrictions, value, quantiles = c(.97))