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The AUTOREG Procedure

TEST Statement

The AUTOREG procedure now supports a TEST statement for linear hypothesis tests. The syntax of the TEST statement is

TEST equation , ..., equation / option ;

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:

TYPE= value

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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