Dear gretl users, I have a questions regrding coefficient wald tests.
I have estimated a SUR system (20 equations) and now I would like to conduct Wald tests for individual coefficients across different equations. I know that I can use the restrict command e.g. restrict "System" b[1,2]-b[3,2]=0 end restrict estimate "System" method=sur which yields an F-test at the end. However, I want to conduct the tests for several equations (14 out of 20) each with 8 coefficients, which would require a lot of individual restricitons. Therefore, I asked myself, whether I could obtain the same results using (b[1,2]-b[3,2])/S(diff), where S(diff) =sqrt(S(b[1,2])^2+S(b[1,2])^2) Unfortunately, the results between the two tests differ (even if I square the t-statistic). Finally, I am looking for a way, to calculate the wald tests, without manually respecifying the every single restriction. Thanks in advance. Jan
