[Gretl-users] Re: Wald test

Am 22.08.20 um 17:34 schrieb Sven Schreiber: > Am 22.08.2020 um 10:55 schrieb f.marchini(a)studenti.unibg.it: >> Thank you for your answer. Following the literature I adopted the >> following equation: >> >> DLnTBt=a'+Σb'*DLnTBt-k+Σc'*DLnYt-k+Σd'*DLnYWt-k+Σe'*DPOSt-k+Σf'*DNEGt-k+θ0*LnTBt-1+θ1*LnYt-1+θ2*LnYWt-1+θ3*POSt-1+θ4*NEGt-1+εt >> >> >>  where POSt and NEGt are the two variables obtained from the partial >> sum of positive and negative changes of the lnREX variable. > > OK. Please try to use at least some blanks to increase the readability > of such a formula line in pseudo-code. (Of course Latex notation would > also help, but not necessary.) > > (BTW, I've seen these constructed partial sums before, but I don't > remember whether it was actually OK to apply the standard regression > inference theory to them. The answer above ignores those doubts and is > just about a restriction formulation in gretl.) Standard regression inference theory applies here too as shown by Shin et al. They show that for both long- and short-run tests on symmetry. The reference is: https://link.springer.com/chapter/10.1007/978-1-4899-8008-3_9