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help for ^mvtest^ (David E. Moore)
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Multivariate F tests
--------------------
^mvtest^ varlist1 [/varlist2 [/varlistn]] [, options ]
Description
-----------
^mvtest^ tests linear hypotheses about the estimated parameters from the most
recently estimated multivariate regression using Wilks' lambda, Pillai's trace
and Hotelling-Lawley's trace. An optional transformation matrix to be applied
to the dependent variables prior to testing may be supplied.
Options
-------
^hyp^ prints the hypothesis sum of squares and cross products matrix.
^err^ prints the error sum of squares and cross products matrix.
^m(^elements^)^ specifies the transformation matrix for the dependent
variables. It uses the same format as an element by element matrix
definition (see [R] matrix). The default is an identity matrix.
^norm^ normalizes the transformation matrix.
Remarks
-------
^mvtest^ performs multivariate F tests derived from the eigenvalues of the
hypothesis and error sums of squares and cross products matrices. The
diagonal elements of these matrices correspond to the usual univariate F
tests for regression and ANOVA. If you supply a transformation matrix for
the dependent variables, the hypothesis and error sums of squares and cross
products matrices are transformed accordingly. You can use the same
transformation matrix to test several separate hypotheses by separating the
list of variables to be tested with a slash '/' character. Variables separated
only by spaces denote a set of variables to be tested jointly.
Examples
--------
mvreg dog cat rat : foo bar zoo_1 zoo_2 zoo_3
mvtest _cons
mvtest foo / bar, hyp err
mvtest foo / zoo_*, h m=(1 1 1 \ 1 -1 0 \ 1 0 -1)
Stored results
--------------
^mvtest^ stores in the ^$S_^# macros:
^S_1^ Wilks' lambda
^S_2^ F associated with Wilks' lambda
^S_3^ df1 for F associated with Wilks' lambda
^S_4^ df2 for F associated with Wilks' lambda
^S_5^ Pillai's trace
^S_6^ F associated with Pillai's
^S_7^ df1 for F associated with Pillai's trace
^S_8^ df2 for F associated with Pillai's trace
^S_9^ Wilks' lambda
^S_10^ F associated with Hotelling's trace
^S_11^ df1 for F associated with Hotelling's trace
^S_12^ df2 for F associated with Hotelling's trace
^mvtest^ stores in the ^S_^# matrices:
^S_0^ The transformation matrix
^S_1^ The error SS&CP matrix
^S_2^ The hypothesis SS&CP matrix
Author
------
David E. Moore
University of Cincinnati
email: moordi@@email.uc.edu
Also see
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[R] mvreg, [R] test