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robust wald test
Posted: Thu Jul 01, 2010 2:46 pm
by pat123123
I am using Eviews 6. I want to know whether the programmed Wald test of a subset of coefficients is valid if using Newey-West robust estimation. The User's Guide seems to suggest otherwise, but I read a forum discussion that seemed to indicate that the Wald test is also robust. If it is not robust in Eviews 6, is it robust in Eviews 7. Thanks.
Re: robust wald test
Posted: Thu Jul 01, 2010 2:58 pm
by EViews Gareth
The Wald test in EViews uses the equation's estimated standard errors. Thus if you estimate the equation using robust standard errors, then those will be used by the Wald test.
Re: robust wald test
Posted: Thu Jul 01, 2010 2:58 pm
by EViews Gareth
The Wald test in EViews uses the equation's estimated standard errors. Thus if you estimate the equation using robust standard errors, then those will be used by the Wald test.
Re: robust wald test
Posted: Sat Jul 03, 2010 8:23 am
by pat123123
thanks for you reply