[Gretl-users] Re: Wald test for BEKK-GARCH coefficients
On Tue, 2 Feb 2021, Sven Schreiber wrote:
Am 02.02.2021 um 10:21 schrieb Riccardo (Jack) Lucchetti:
> On Mon, 1 Feb 2021, Sven Schreiber wrote:
>> So I guess you want to test that both of these coefficients are zero,
>> and the standard formulation is $H_0: R \theta = 0$, where R has two
>> rows (unit vectors here) and \theta is the coefficient vector. Then
>> you should be able to apply the standard Wald test quadratic form
>> (https://en.wikipedia.org/wiki/Wald_test) by plugging in Modelbekk.coeff
>> for the theta estimate and Modelbekk.vcv for Vhat (and of course a zero
>> vector for r).
>
> Something like this (where a and b are the position of the elements you
> want to test):
Jack, so what about the A and B matrices, is that universal notation in
that area such that indeed those are the wanted coefficients for the
spillover hypothesis?
Yes, in the BEKK literature those matrices are universally called A and B.
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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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