Re: [Gretl-users] Coeffiicent Wald Tests across equations for individual coefficents (within SUR)

As far as I remember, there should be a $vcv available. Jan From: Jan Tille <Jan.Tille@absolut-research.de<mailto:Jan.Tille@absolut-research.de>> Reply-To: "gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>" <gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>> Date: vrijdag 26 april 2013 13:58 To: "gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>" <gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>> Subject: Re: [Gretl-users] Coeffiicent Wald Tests across equations for individual coefficents (within SUR) Jan, Thank you for this hint. Is there an easy way to obtain the coefficient cov-matrix, as Gretel only produces the residiual covariance matrix for the System. Jan Am 26.04.2013 um 13:16 schrieb "Annaert Jan" <jan.annaert@ua.ac.be<mailto:jan.annaert@ua.ac.be>>: In addition to Sven's answer: You may rewrite restrictions as the one you mention as a t-test, but then your denominator Sdiff should take into account the covariance between the two coefficients: sqrt(var(b[1,2])+var(b[3,2])-2cov(b[1,2],b[3,2])). Good luck, Jan Jan Annaert UNIVERSITEITANTWERPEN | Faculty of Applied Economics (TEW) | Dept. Accounting & Finance Room S.B.335 | Prinsstraat 13 | B-2000 Antwerp | Belgium Phone +32 32654163 |Fax +32 32654064 http://www.ua.ac.be/jan.annaert http://ssrn.com/author=143473 From: Jan Tille <Jan.Tille@absolut-research.de<mailto:Jan.Tille@absolut-research.de>> Reply-To: "gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>" <gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>> Date: vrijdag 26 april 2013 12:26 To: "gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>" <gretl-users@lists.wfu.edu<mailto:gretl-users@lists.wfu.edu>> Subject: [Gretl-users] Coeffiicent Wald Tests across equations for individual coefficents (within SUR) 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 _______________________________________________ Gretl-users mailing list Gretl-users@lists.wfu.edu<mailto:Gretl-users@lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users@lists.wfu.edu<mailto:Gretl-users@lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users