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how to produce F-statistic when using all dummies in the eq.
Posted: Sat Jul 02, 2011 4:51 pm
by jwcy45
Hello, i would like to ask is there any way to produce the f-statistics if i used all dummies in the estimated equation (GJR_GARCH_1,1).
Btw, i am testing the seasonality of a stock index.
Here is the equation:
mean equation: return jan feb mar apr may jun jul aug sep oct nov dec
, where (jan feb mar apr may jun jul aug sep oct nov dec) are the dummies.
actually i want to test whether the coeff. of each dummy are different from each other.
As the estimated output didnt show the f-statistics, therefore, i want to ask is there any way to compute it without including the constant term in the mean equation.
Thanks
Re: how to produce F-statistic when using all dummies in the
Posted: Sat Jul 02, 2011 5:08 pm
by startz
The F-statistic tests whether the coefficients equal zero, not whether they are all equal.
You can probably use the Wald test to do what you want.
Re: how to produce F-statistic when using all dummies in the
Posted: Sat Jul 02, 2011 6:06 pm
by jwcy45
The F-statistic tests whether the coefficients equal zero, not whether they are all equal.
You can probably use the Wald test to do what you want.
so you mean i should use test c(1)=c(2)=c(3)=c(4)=c(5)=c(6)=c(7)=c(8)=c(9)=c(10)=c(11)=c(12)=0 in the Wald test???
Re: how to produce F-statistic when using all dummies in the
Posted: Sat Jul 02, 2011 6:23 pm
by startz
Yes, but leave off the last zero.
Re: how to produce F-statistic when using all dummies in the
Posted: Sat Jul 02, 2011 6:38 pm
by jwcy45
Yes, but leave off the last zero.
really?
because i tried c(1)=c(2)=c(3)=c(4)=c(5)=c(6)=c(7)=c(8)=c(9)=c(10)=c(11)=c(12) before, and i think it means testing the restriction on c(1) - c(12) =0, c(2) - c(12) =0 ...etc.
sorry mate i am confused.
Re: how to produce F-statistic when using all dummies in the
Posted: Sat Jul 02, 2011 8:04 pm
by EViews Gareth
Typing:
Code: Select all
c(1)=c(2)=c(3)=c(4)=c(5)=c(6)=c(7)=c(8)=c(9)=c(10)=c(11)=c(12)
tests the restriction c(1)=c(2)=c(3)=c(4)=c(5)=c(6)=c(7)=c(8)=c(9)=c(10)=c(11)=c(12).
If you wanted to test the restriction: c(1) - c(12) =0, c(2) - c(12) =0, you would type:
Re: how to produce F-statistic when using all dummies in the
Posted: Sun Jul 03, 2011 8:02 am
by startz
Yes, but leave off the last zero.
really?
because i tried c(1)=c(2)=c(3)=c(4)=c(5)=c(6)=c(7)=c(8)=c(9)=c(10)=c(11)=c(12) before, and i think it means testing the restriction on c(1) - c(12) =0, c(2) - c(12) =0 ...etc.
sorry mate i am confused.
If c(1)-c(12)=0, then c(1)=c(12).
if c(1)-c(12)=0,c(2)-c(12)=0, then c(1)=c(2)=c(12).
But if c(1)=c(2)=c(12)=0, then c(1)=0, c(2)=0, and c(12)=0.