[R] Testing general hypotheses on regression coefficients

[peter dalgaard]

On 06 Sep 2014, at 12:24 , bonsxanco <bonsxanco at yahoo.com> wrote:

>> 
>> 1) 8th grade algebra tells me B2/B1 == 0 <==> B2 =0;
> 
> EViews (econometrics program) doesn't have the same opinion:
> 
> Wald test on my real model (edited):
> 
> * H0: B3/B2 = 0 -> F-stat = 37.82497 
> * H0: B3 = 0    -> F-stat = 16.31689 

And when the econometrics program contradicts what you learned in 8th grade, surely the latter is wrong and the former is right, because it is done by a computer and computers cannot be wrong? ;-)

Probably what this shows most of all is a weakness of the Wald test approach: The s.e. of (b3hat/b2hat) will likely differ from s.e.(b3hat)/b2hat and hence the test statistics will differ even though they really test the same hypothesis. Actually, there are two generic weaknesses: (a) the somewhat arbitrary choice of test statistic and (b) the fact that the s.e. is not calculated at the null value of the parameter, but at the estimate.

-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com