On 06 Sep 2014, at 12:24 , bonsxanco <bonsxa...@yahoo.com> wrote: >> >> 1) 8th grade algebra tells me B2/B1 == 0 <==> B2 =0; > > EViews (econometrics program) doesn't have the same opinion: > > Wald test on my real model (edited): > > * H0: B3/B2 = 0 -> F-stat = 37.82497 > * H0: B3 = 0 -> F-stat = 16.31689
And when the econometrics program contradicts what you learned in 8th grade, surely the latter is wrong and the former is right, because it is done by a computer and computers cannot be wrong? ;-) Probably what this shows most of all is a weakness of the Wald test approach: The s.e. of (b3hat/b2hat) will likely differ from s.e.(b3hat)/b2hat and hence the test statistics will differ even though they really test the same hypothesis. Actually, there are two generic weaknesses: (a) the somewhat arbitrary choice of test statistic and (b) the fact that the s.e. is not calculated at the null value of the parameter, but at the estimate. -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd....@cbs.dk Priv: pda...@gmail.com ______________________________________________ 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.
