[R] Testing general hypotheses on regression coefficients

peter dalgaard pdalgd at gmail.com
Sun Sep 7 17:46:59 CEST 2014

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

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