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It is a beginner question but I did not find a good explanation so I am asking here. Hope that I received the help from the community.

Today I run a joint null test individually like that

test (tau0=0) (tau1=0) (tau2=0)

And the result is

( 1)  tau0 = 0
 ( 2)  tau1 = 0
 ( 3)  tau2 = 0

           chi2(  3) =    1.12
         Prob > chi2 =    0.7717

I am wondering what does the numbers 2 and 3 in chi2(3) mean. I did a search from Wikipedia but I did not fully get it.

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  • $\begingroup$ You should probably mention the program you are running. $\endgroup$
    – Giskard
    Oct 21 at 7:23
  • $\begingroup$ @Giskard it is STATA, thank you $\endgroup$
    – Nguyen Lis
    Oct 21 at 12:13
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    $\begingroup$ I don't want to be mean, but you could just google this, if you just enter chi(3) stata into google you get answer in the first result $\endgroup$
    – csilvia
    Oct 23 at 13:07
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This is most likely a $\chi^2$ distribution with a degree of freedom of 3. From Wikipedia:

In probability theory and statistics, the chi-squared distribution [...] with k degrees of freedom is the distribution of a sum of the squares of k independent standard normal random variables.

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