significance of sum of coefficients

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dilianat
Posts: 2
Joined: Tue Apr 29, 2014 12:16 pm

significance of sum of coefficients

Postby dilianat » Tue Apr 29, 2014 12:27 pm

Hello,
I'm an EViews newbie, so I'm not sure if I'm asking the question properly.. long story short: I ran a regression where I needed to have a 1- through 5-year lag on the the main indep variable. I was instructed to do this:
dependent c indep1(-1) indep1(-2) indep1(-3) indep1(-4) indep1(-5) indep2

Now I'm supposed to (quoting) "add up the coefficients and do a Wald test on the significance of the sum" to see the effect of the 1-5year lag as a whole
The problem is I have no clue how to do it. From what I've read about the Wald test, it's about setting restrictions and I can't find anything about testing the joint significance of coefficients.

I'd appreciate any help/suggestions for further reading
Thanks!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: significance of sum of coefficients

Postby EViews Gareth » Tue Apr 29, 2014 12:38 pm

The Wald Test lets you test joint or individual significance. A test of the restriction:
C(1)=c(2)=c(3)=0
Is a test of the joint significance of c(1), c(2) and c(3)

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: significance of sum of coefficients

Postby startz » Tue Apr 29, 2014 1:23 pm

Do a Wald test of c(2)+c(3)+c(4)+c(5)+c(6)=0

dilianat
Posts: 2
Joined: Tue Apr 29, 2014 12:16 pm

Re: significance of sum of coefficients

Postby dilianat » Wed Apr 30, 2014 1:28 am

wow, I imagined it to be waaay more complicated :D
Thanks a lot !


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