Re: [Gretl-users] non-linear Wald-Test
On Wed, 5 Aug 2009, Allin Cottrell wrote:
On Thu, 6 Aug 2009, artur tarassow wrote:
> is there any possibility to test a restriction of the kind
> b[4]/b[2]=b[3]/b[2] using the wald-test?
> If I read the manual correctly it does not seem to be implemented. Or
> does there exist an alternative to test this kind of restriction?
[ ... ]
If the original model was estimated via OLS, the restricted one
could be estimated via NLS. Then construct an F-test based on the
difference between the restricted and unrestricted sums of squared
residuals.
Hmm, actually you'd be on firmer ground using the chi-square form:
chi-square(J) = T * (SSRr - SSRu) / SSRu
where J = number of restrictions and T = sample size.
Allin Cottrell