[急求]非线性方程的wald-test怎么做？

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如果模型是非线性的，做wald-test还可以用test命令吗？我看了一下testnl只针对nonlinear restriction的，而不是nonlinear model，有人知道test命令的原理是什么吗？
如果不可以的话是不是就要手动算了？那么怎么用stata算information matrix呢？

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关键词：非线性方程 线性方程 Wald test 非线性 matrix 模型

even if it's a nonlinear model, you can still use "test" after estimation.

testnl is for testing linear or nonlinear hypotheses about the estimated parameters. eg,

. sysuse auto
. generate weight2 = weight^2
. regress price weight weight2
. . testnl _b[mpg] = 1/_b[weight]

here you use testnl, because 1/_b[weight] is nonlinear for the parameter of "weight"

We cannot use Wald test for the significannce of particular varialbes in a nonlinear system.Likelihood ratio test is the alternative method.

mapler 发表于 2011-4-1 02:51
We cannot use Wald test for the significannce of particular varialbes in a nonlinear system.Likeliho ...

how can we know the result from the Likelihood ratio test?

probit
logit
都是非线性的
你看看这些模型的检验方法就知道怎么做了

1. testnl -- Test nonlinear hypotheses after estimation

    testnl tests (linear or nonlinear) hypotheses about the estimated parameters from the most recently fitted model.
    testnl produces Wald-type tests of smooth nonlinear (or linear) hypotheses about the estimated parameters from the most
    recently fitted model.  The p-values are based on the delta method, an approximation appropriate in large samples.
    testnl can be used with svy estimation results, see [SVY] svy postestimation.
    The format (exp1=exp2=exp3= ... ) for a simultaneous-equality hypothesis is just a convenient shorthand for (exp1=exp2)
    (exp1=exp3), etc.
    testnl may also be used to test linear hypotheses. test is faster if you want to test only linear hypotheses.  testnl
    is the only option for testing linear and nonlinear hypotheses simultaneously.


2. test -- Test linear hypotheses after estimation

我来挖一下坟。关于非线性模型的wald test，正像楼上所说，可以用testnl命令。不过需要注意以下的细节：

比如说，我希望估计：logy=alpha+beta*logx+gamma*log(delta1*z1+delta2*z2)这样一个相对简单的非线性方程，而我感兴趣的是，H0: delta1=delta2，那么，我可以用如下的testnl命令：

testnl _b[/delta1]=_b[/delta2]。特别注意，系数前面一定要加上"/"，估计是表示对应的变量。

以上是我通过试错找出来的方法，希望有所帮助。