CQLIM Procedure

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The TEST statement performs Wald, Lagrange multiplier, and likelihood ratio tests of linear hypotheses about the regression parameters in the preceding MODEL statement. Each equation specifies a linear hypothesis to be tested. All hypotheses in one TEST statement are tested jointly. Variable names in the equations must correspond to regressors in the preceding MODEL statement, and each name represents the coefficient of the corresponding regressor. Use the keyword INTERCEPT for a test that includes a constant.

You cannot specify both the TEST statement and the BAYES statement.

You can specify the following options after the slash (/):

The following statements illustrate the use of the TEST statement (note the use of the INTERCEPT keyword in the second TEST statement):

proc cqlim;
   model y = x1 x2 x3;
   test x1 = 0, x2 * .5 + 2 * x3 = 0;
   test_int: test intercept = 0, x3 = 0;
run;

The first TEST statement investigates the joint hypothesis that

and

In case there is more than one MODEL statement in one CQLIM procedure, then TEST statement is capable of testing cross equation restrictions. Each parameter reference should be preceded by the name of the dependent variable of the particular model and the dot sign. For example,

proc cqlim;
   model y1 = x1 x2 x3;
   model y2 = x3 x5 x6;
   test y1.x1 + y2.x6 = 1;
run;

This cross equation test investigates the null hypothesis that

in the system of equations

Only linear equality restrictions and tests are permitted in PROC CQLIM. Test expressions can be composed only of algebraic operations that involve the addition symbol (+), subtraction symbol (–), and multiplication symbol (*).

The TEST statement accepts labels that are reproduced in the printed output. You can label a TEST statement in two ways: you can specify a label followed by a colon before the TEST keyword, or you can specify a string in quotation marks after the TEST keyword. If you specify both a label before the TEST keyword and a quoted string after the keyword, PROC CQLIM uses the label that precedes the colon. If no label or quoted string is specified, PROC CQLIM labels the test automatically.