[R] Testing general hypotheses on regression coefficients
bonsxanco
bonsxanco at yahoo.com
Sat Sep 13 17:03:45 CEST 2014
On Sunday, September 7, 2014 5:47 PM, peter dalgaard <pdalgd at gmail.com> wrote:
> 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? ;-)
I simply thought that there was a "standard" way to do this: EViews and Stata
both give the exact same F statistic for my original problem. Given that these
programs were not developed by the same author (AFAIK), there is some specific
way to reformulate the restriction which make EViews and Stata give the same
answer.
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