significance of sum of coefficients
Posted: 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!
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!