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Hi,

I need assistance on the coefficient restriction using wald test in eviews 9. I am examining the market efficiency by putting restrictions(α₁ = 0 and β₁ =1) on the equation
S_T= α_1+β_1 F_t+ε_T. both the series are stationary and the regression results shows α₁ close to zero and significant β₁ close to one. but the wald test is rejecting my hypothesis.
Can someone please help me on this.
I have also attached my results.

Thanks
Vikas

It is what it is. Alpha may be close to zero, but it is significant and is therefore statistically different from zero. You can try a different (longer/shorter) sample or a different frequency (e.g. daily). Other than that, result of Wald test is solid.