The AUTOREG Procedure |
TEST Statement |
The AUTOREG procedure now supports a TEST statement for linear hypothesis tests. The syntax of the TEST statement is
The TEST statement tests hypotheses about the covariates in the model estimated by the preceding MODEL statement. Each equation specifies a linear hypothesis to be tested. If more than one equation is specified, the equations are separated by commas.
Each test is written as a linear equation composed of constants and parameter names. Refer to parameters by the name of the corresponding regressor variable. Each name used in the equation must be a regressor in the preceding MODEL statement. Use the keyword INTERCEPT to refer to the intercept parameter in the model.
You can specify the following option in the TEST statement:
specifies the test statistics to use, F or Wald. TYPE=F produces an F test. TYPE=WALD produces a Wald test. The default is TYPE=F.
The following example of a TEST statement tests the hypothesis that the coefficients of two regressors A and B are equal:
model y = a b c d; test a = b;
To test separate null hypotheses, use separate TEST statements. To test a joint hypothesis, specify the component hypotheses on the same TEST statement, separated by commas.
For example, consider the following linear model:
The following statements test the two hypotheses and :
model y = x1 x2; test intercept = 1; test x1 + x2 = 0;
The following statements test the joint hypothesis and :
model y = x1 x2; test intercept = 1, x1 + x2 = 0;
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