Dear Helpers,
I need to do a spanning test with short sale constraints - so I have to impose
and test multiple inequality restrictions to my panel regression model. I
looked at several methodologies and for my research the most efficiency
methodology is to a Wald test as proposed in:
Econometrica, Vol. 50, No. 1 (January, 1982) LIKELIHOOD RATIO TEST, WALD
TEST, AND KUHN-TUCKER TEST IN LINEAR MODELS WITH INEQUALITY CONSTRAINTS ON
THE REGRESSION PARAMETERS BY CHRISTIAN GOURIE'ROUX, ALBERTO HOLLY. AND ALAIN
MONFORTAs I'm not good with programming I was hoping to find a post-estimation
test in R. I found the ic.infer package, which uses the likelihood ratio test.
Is anyone knows how to transform the program ic.infer to a likelihood ratio
test into a Wald test, or how to program into R this Wald test with inequality
constraints?
Thanks!
Best,
Seb
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