Re: [Gretl-users] Coeffiicent Wald Tests across equations for individual coefficents (within SUR)
Am 26.04.2013 12:26, schrieb Jan Tille:
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).
Well in some sense you give the answer yourself, this is something
different. In fact, I don't see what it is or how it is going to work
(in econometric theory I mean), but maybe I'm missing something.
Finally, I am looking for a way, to calculate the wald tests, without
manually respecifying the every single restriction.
Quoting from the command docs, look it up for more explanation:
"
restrict
R = Rmat
q = qvec
end restrict
"
Or maybe you could do it in a loop if you want to somehow test stuff in
different equations.
hth,
sven