On Wed, 5 Aug 2009, Allin Cottrell wrote: > On Thu, 6 Aug 2009, artur tarassow wrote: > > > is there any possibility to test a restriction of the kind > > b[4]/b[2]=b[3]/b[2] using the wald-test? > > If I read the manual correctly it does not seem to be implemented. Or > > does there exist an alternative to test this kind of restriction?
[ ... ] > If the original model was estimated via OLS, the restricted one > could be estimated via NLS. Then construct an F-test based on the > difference between the restricted and unrestricted sums of squared > residuals. Hmm, actually you'd be on firmer ground using the chi-square form: chi-square(J) = T * (SSRr - SSRu) / SSRu where J = number of restrictions and T = sample size. Allin Cottrell
