[Gretl-users] Re: Wald test
On Tue, 18 Aug 2020, f.marchini(a)studenti.unibg.it wrote:
Hi all,
I'm a student at University of Bergamo and i'm writing my dissertation
on the asymmetric eur/usd exchange rate effects on trade relations. I
need some help to figure out how to perform the Wald test on Gretl in
order to test the asymmetry hypotesis.
There are several ways to do this. In many cases, asymmetry tests are
carried out by
(a) estimating a model (usually by OLS)
(b) performing a test where the null hypothesis is that a subset of the
regressors can be omitted
In the simplest case, suppose you have a dependent variable y and an
explanatory variable x that could have an asymmetric effect on y depending
on a binary indicator d (for example, d=1 <-> \Delta x > 0).
The simplest way to go is to estimate
y = b0 + b1 * x + b2 * x*d
and then testing for H0: b2 = 0
So you'd go for something like
<hansl>
series asymm = x * d
ols y const x asymm
omit asymm
</hansl>
Variations on this theme are countless.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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