wald test between two systems
Posted: Fri Nov 03, 2023 6:21 pm
Hello,
I estimated a system s1 of n equations with k parameters using SUR over a sub-period %dat1 to %dat2. Then I estimated a second system s2 of the same equations over another sub-sample %dat2+1 to %dat3. Estimated systems s1 and s2 are stored in the workfile. I want to run a Wald test for testing the n*k restrictions of equality between the estimated coefficients of the same regressors within the two systems. My program for estimating s2 is as follows (the model is simplified here to contain two regressors):
system s2
coef(100) b
!j=0
for %i {%units}
s2.append y{%i}=b(1+!j)*x1{%i} + b(2+!j)*x2{%i}
!j=!j+2
next
s2.sur
How can I continue this program in order to ask Eviews to fetch the estimated parameters of s1 and run a Wald test of equality between the two estimates of each of the coefficients?
Many thanks
I estimated a system s1 of n equations with k parameters using SUR over a sub-period %dat1 to %dat2. Then I estimated a second system s2 of the same equations over another sub-sample %dat2+1 to %dat3. Estimated systems s1 and s2 are stored in the workfile. I want to run a Wald test for testing the n*k restrictions of equality between the estimated coefficients of the same regressors within the two systems. My program for estimating s2 is as follows (the model is simplified here to contain two regressors):
system s2
coef(100) b
!j=0
for %i {%units}
s2.append y{%i}=b(1+!j)*x1{%i} + b(2+!j)*x2{%i}
!j=!j+2
next
s2.sur
How can I continue this program in order to ask Eviews to fetch the estimated parameters of s1 and run a Wald test of equality between the two estimates of each of the coefficients?
Many thanks