Dear gretl users,
I have a questions regrding coefficient wald tests.
I have estimated a SUR system (20 equations) and now I would like to conduct Wald tests
for individual coefficients across different equations.
I know that I can use the restrict command e.g.
restrict "System"
b[1,2]-b[3,2]=0
end restrict
estimate "System" method=sur
which yields an F-test at the end.
However, I want to conduct the tests for several equations (14 out of 20) each with 8
coefficients, which would require a lot of individual restricitons.
Therefore, I asked myself, whether I could obtain the same results using
(b[1,2]-b[3,2])/S(diff),
where S(diff) =sqrt(S(b[1,2])^2+S(b[1,2])^2)
Unfortunately, the results between the two tests differ (even if I square the
t-statistic).
Finally, I am looking for a way, to calculate the wald tests, without manually
respecifying the every single restriction.
Thanks in advance.
Jan