Hi!
Im using Eviews 6.
I have a time-series like that (attached workfile)
and run for model like
y = a + c(0)x + D(10)c(1)x +D(5)c(2)x +D(1)c(3)x +e(t)
Y: return of gold
x: return of stock index
D(10), D(5), D(1) are dummies variable.
After Regression, i have the output with p-value of each coefficient.
and I don't know how to calculate the p-value of sum of coefficients in this case. ex. c(1) + c(2); c(0) + c(1);...
I would appriciate any help.
Thanks all.
Calculate the p-value of sum of coefficients
Moderators: EViews Gareth, EViews Moderator
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hungtranueh
- Posts: 2
- Joined: Tue Mar 17, 2015 3:42 am
Calculate the p-value of sum of coefficients
- Attachments
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- workfile-weekly.wf1
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Re: Calculate the p-value of sum of coefficients
Search for "Wald test".
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hungtranueh
- Posts: 2
- Joined: Tue Mar 17, 2015 3:42 am
Re: Calculate the p-value of sum of coefficients
Thank you so much, but i'm still can't do it. Can you make it clearer :(
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EViews Glenn
- EViews Developer
- Posts: 2682
- Joined: Wed Oct 15, 2008 9:17 am
Re: Calculate the p-value of sum of coefficients
View/Coefficient Tests/Wald Test...
from the equation menu. Then enter
c(1)+c(2)=0, c(2)+c(3)=0
press Enter.
from the equation menu. Then enter
c(1)+c(2)=0, c(2)+c(3)=0
press Enter.
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