Wald coefficient restriction test.
The wald view carries out a Wald test of coefficient restrictions for a state space object.
Syntax
sspace_name.wald restrictions
Enter the sspace name, followed by a period, and the keyword. You must provide a list of the coefficient restrictions, with joint (multiple) coefficient restrictions separated by commas.
Options
Examples
ss1.wald c(2)=0, c(3)=0
tests the null hypothesis that the second and third coefficients in equation SS1 are jointly zero.
ss1.wald c(2)=c(3)*c(4)
tests the non-linear restriction that the second coefficient is equal to the product of the third and fourth coefficients.
Cross-references