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significance of sum of coefficients

Posted: Tue Apr 29, 2014 12:27 pm
by dilianat
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!

Re: significance of sum of coefficients

Posted: Tue Apr 29, 2014 12:38 pm
by EViews Gareth
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)

Re: significance of sum of coefficients

Posted: Tue Apr 29, 2014 1:23 pm
by startz
Do a Wald test of c(2)+c(3)+c(4)+c(5)+c(6)=0

Re: significance of sum of coefficients

Posted: Wed Apr 30, 2014 1:28 am
by dilianat
wow, I imagined it to be waaay more complicated :D
Thanks a lot !