wald test sum of coefficients

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wald test sum of coefficients

Postby rbriceno » Wed Jul 16, 2014 1:36 pm

Hello. I am running a regression (OLS) with the following representation: TIR = C(1) + C(2)*LIQ090 + C(3)*LOG(DUR) + C(4)*DR1 + C(5)*MON + C(6)*LIQ090*MON + C(7)*DR1*MON + C(8)*DR1*LIQ090

I want to test that the sum of C(2), C(6) and C(8) is negative. I tried with a joint Wald test using C(2) + C(6) +C(8) = 0, but then the question is: if I have a rejection of the null is the sum positive or negative? (I understand the test is two-tailed so both directions are possible).

Is there a way to test if the sum of the 3 coefficients is negative? I'm using Eviews 7.


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Re: wald test sum of coefficients

Postby EViews Gareth » Wed Jul 16, 2014 1:41 pm

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