1.1 - 8.10 - Wald Test - Teradata Vantage

Teradata Vantage™ - Machine Learning Engine Analytic Function Reference

Teradata Vantage
Release Number
Release Date
October 2019
Content Type
Programming Reference
Publication ID
English (United States)

Significance tests can be performed for individual regression coefficients (that is, H0 : βj = 0) by computing the Wald statistics, which are similar to the partial t-statistics from classical regression:

Under the null hypothesis that βj = 0, the Wald test statistic wj follows approximately a standard normal distribution (and its square is approximately a chi-square on one-degree of freedom).

This quantity is computed by the GLM function as the Wald Test, as well as the corresponding 'p_value'. It is in the output table, and also displayed on the screen.