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>
Reply-To: "gretl-users@lists.wfu.edu" <gretl-users@lists.wfu.edu>
Date: vrijdag 26 april 2013 12:26
To: "gretl-users@lists.wfu.edu" <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

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