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 [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.