Wald test on linear restrictions VAR model
Posted: Mon Apr 14, 2014 3:33 am
Hello!
I am working on a term paper and I would like to do a Wald test on linear restrictions on my VAR model. Is there an easy way to this in eviews? This my model :
dshort = @coef(1) * dshort(-1) + @coef(2) * dshort(-2) + @coef(3) * dshort(-3) + @coef(4) * dshort(-4) + @coef(5) * spread(-1) + @coef(6) * spread(-2) + @coef(7) * spread(-3) + @coef(8) * spread(-4) + @coef(9) + @coef(10) * dummy
And the restrictions:
f(a)=g^'-h^' A[I-(m⁄n)(I-A^n ) (I-A^m )^(-1) ] (I-A)^(-1)=0.
Thank you
NikkeH
I am working on a term paper and I would like to do a Wald test on linear restrictions on my VAR model. Is there an easy way to this in eviews? This my model :
dshort = @coef(1) * dshort(-1) + @coef(2) * dshort(-2) + @coef(3) * dshort(-3) + @coef(4) * dshort(-4) + @coef(5) * spread(-1) + @coef(6) * spread(-2) + @coef(7) * spread(-3) + @coef(8) * spread(-4) + @coef(9) + @coef(10) * dummy
And the restrictions:
f(a)=g^'-h^' A[I-(m⁄n)(I-A^n ) (I-A^m )^(-1) ] (I-A)^(-1)=0.
Thank you
NikkeH