[Gretl-users] Re: Wald test for BEKK-GARCH coefficients
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?
thanks
sven