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felixholub/Wald-Test in Julia

Created June 19, 2019 10:28
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Wald-Test in Julia
# Define F-Test function: w = waldtest([1 -1 0 0], rr1.coef, rr1.vcov)
function waldtest(R, β, Σ)
wald = (R * β)' * inv(R * Σ * R') * (R * β)
q = size(R)[1]
pval = 1 - cdf(Chisq(q), wald)
end
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