Re: [Gretl-users] non-linear Wald-Test
On Sat, 8 Aug 2009, Sven Schreiber wrote:
Am 07.08.2009 17:45, Allin Cottrell schrieb:
> Follow-up in regard to Jack's nice presentation of the delta
> method for testing nonlinear restrictions.
>
> This is not documented yet (nor finalized, if people have good
> suggestions for changes) but in CVS we have the following option
> for the "restrict" command:
>
> restrict
> rfunc = <function-name>
> end restrict
>
> That is, you can use the keyword "rfunc" to indicate that you're
> giving a constraint function rather than explicit statement of a
> restriction. As in Jack's script, this function should take as
> its single argument the coefficient vector (in "pointer" form),
> and it should return a vector that is zero under H0, non-zero
> under the alternative...
Certainly a very nice feature!
Why is the pointer form necessary?
Ah, it's not actually necessary, though it is a bit more
efficient. However, we do need to standardize on pointer-form or
not. I suppose the straight, non-pointer form is more "natural".
Any thoughts?
Allin.