Parameter Significance (Wald Test)

For each estimated parameter , the Wald chi-square statistic is the quantity:

where is the estimated variance of as defined in Parameter Variances and Covariances.

p-Values

The p-value for each parameter estimate is the probability of seeing the value of the calculated parameter using the above formula, or something more extreme, if the hypothesis bj = 0 is true. Note that in general the sample size must be large in order for the p-value to be accurate.

Critical Values

The critical values, vj , for the parameter estimates are the levels at which, if the absolute value of the Wald chi-square statistic calculated for a given is greater than vj, we reject the hypothesis bj = 0 at the specified significance level.