Hi. First of all, thanks to all who have replied.
> 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 > 2) I suspect you would need to provide more context for the other The context is this: I'm estimating a model which is: d(y) = a + B1*y(-1) + B2*X_p(-1) + B3*X_n(-1) + other + error where X_p and X_n are partial sum decompositions of positive and negative shocks: X_p(t) = X_p(t-1) + (d(X_p(t))>0)*d(X_p(t)) ; X_p(0)=0 X_n(t) = X_n(t-1) + (d(X_n(t))>0)*d(X_n(t)) ; X_p(0)=0 I think this is enough, but I can provide the full references. Now, back to the problem: testing B2/B1=0 tells me about that the long term effect, while testing for B2/B1=B3/B1 tells me that about the equality of long term effects to negative and positive shocks. > car::deltaMethod I just gave a quick look and searched about delta method, but I can't see how it would help in testing the restrictions above. I'll read more about it, though, as it seems interesting, thanks for the pointer. (Sorry if this e-mail goes out of context, but the first time I sent it through gmane, as I wasn't subscribed.) Chris ______________________________________________ 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.