Passing Hypothesis in Wald. Test in R
Please Forgive as I Am New to This Forum. the Study Requires to Check the Sum of Coefficients=0. the Test Can Be Conducted Using Eviews Like C(2)+C(3)+C(4)=0...
Please forgive as i am new to this forum. The study requires to check the sum of coefficients=0. The test can be conducted using eviews like c(2)+c(3)+c(4)=0, where 2 is the coefficient of 2nd term and hence forth. The code for the same using R is
require(Hmisc)#this package is used to generate lags
require(aod)#this package is used to conduct wald test
output<-lm(formula = s_dep ~ m_dep + Lag(m_dep,-1) + Lag(m_dep,-2) + s_rtn, data = qs_eq_comm)
wald.test(b=coef(object=output),Sigma=vcov(object=output), Terms=2:4, H0=2+3+4)
#H0=2+3+4 checks if the sum is zero
This gives error : Error in wald.test(b = coef(object = output), Sigma = vcov(object = output), : Vectors of tested coefficients and of null hypothesis have different lengths. As per the aod package the documentation specifies the format as
wald.test(Sigma, b, Terms = NULL, L = NULL, H0 = NULL,df = NULL, verbose = FALSE)
Please help to conduct this test.
1 Answer
In wald.test function either T or L can passed as the parameter. L is a matrix conformable to b, such as its product with b i.e., L %*% b gives the linear combinations of the coefficients to be tested. Create L matrix first and then conduct wald test.
l<-cbind(0,+1,+1,+1,0)
wald.test(b=coef(object=output),Sigma=vcov(object=output), L=l)
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