[R] Hypothesis testing after optim

Spencer Graves spencer.graves at pdf.com
Tue Jul 15 00:35:58 CEST 2003

For nested models, 2*log(likelihood ratio) is approximately chi-square 
with degrees of freedom = the number of parameters estimated for the 
larger model that were not in the smaller model minus any additional 
constraints.  You can compute 2*log(likelihood ratio) as twice the 
difference in the log(likelihoods) at the optimum and then use pchisq to 
conver that to a significance probability.

hope this helps.  spencer graves

Peter Muhlberger wrote:
> Hi folks:  Does anyone know of a way to do (linear) hypothesis tests of
> parameters after fitting a maximum-likelihood model w/ optim?  I can't seem
> to find anything like a Wald test whose documentation says it applies to
> optim output.  
> Also, thanks again to everyone who gave me feedback on the robustness of ML
> estimation in R!
> Peter
> ********************************
> ********************************
> Peter Muhlberger
> Visiting Professor of Political Science
> Institute for the Study of Information Technology and Society (InSITeS)
> Carnegie Mellon University
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