Coefficient Restriction using Wald test

[vikas]

Hi,

I need assistance on the coefficient restriction using wald test in eviews 9. I am examining the market efficiency by putting restrictions(α₁ = 0 and β₁ =1) on the equation
S_T= α_1+β_1 F_t+ε_T. both the series are stationary and the regression results shows α₁ close to zero and significant β₁ close to one. but the wald test is rejecting my hypothesis.
Can someone please help me on this.
I have also attached my results.

Thanks
Vikas

[trubador]

It is what it is. Alpha may be close to zero, but it is significant and is therefore statistically different from zero. You can try a different (longer/shorter) sample or a different frequency (e.g. daily). Other than that, result of Wald test is solid.