[R] Testing general hypotheses on regression coefficients

bonsxanco bonsxanco at yahoo.com
Sat Sep 6 12:24:03 CEST 2014


First of all, thanks to all who have replied.

> 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 

> 2) I suspect you would need to provide more context for the other

The context is this: I'm estimating a model which is:

d(y) = a + B1*y(-1) + B2*X_p(-1) + B3*X_n(-1) + other + error

where X_p and X_n are partial sum decompositions of positive and negative shocks:

X_p(t) = X_p(t-1) + (d(X_p(t))>0)*d(X_p(t)) ; X_p(0)=0
X_n(t) = X_n(t-1) + (d(X_n(t))>0)*d(X_n(t)) ; X_p(0)=0

I think this is enough, but I can provide the full references.

Now, back to the problem: testing B2/B1=0 tells me about that the long term effect, while testing for B2/B1=B3/B1 tells me that about the equality of long term effects to negative and positive shocks.

> car::deltaMethod

I just gave a quick look and searched about delta method, but I can't see how it would help in testing the restrictions above. I'll read more about it, though, as it seems interesting, thanks for the pointer.

(Sorry if this e-mail goes out of context, but the first time I sent it through gmane, as I wasn't subscribed.)


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