10-01-2014 01:10 PM
I want to test the equality of two parameters (a and b) in proc model. I write
in the output I find type of test=wald , the statistic and ProbChiSq
Can someone help me to interpret the results?
10-01-2014 05:14 PM
A wald test statistic is the estimate of the parameter (or contrast) divided by the estimate of the standard error of the parameter estimate (or of the the estimated contrast). This has a standard normal or t distribution under H0, depending on the circumstances. Square this and you get a chi-squared distribution. If the test is multidimensional (say, for two contrasts simultaneously), you can also calculate this using the vector of parameter estimates and the variance-covariance matrix of the estimated contrasts. Once again, a chi-squared distribution under H0.
11-10-2014 10:50 AM
There is strong evidence that a is not equal to b based on what you have posted. AKA "A and B are different"
Now, I see that you are estimating these parameters with GMM so this might be some sort of complicated system. For that reason I cannot make any comment on the usefulness or appropriateness of this test statistic as I don't have much context.