[R] Testing general hypotheses on regression coefficients
skostysh at princeton.edu
Sat Sep 6 10:15:10 CEST 2014
> On Fri, Sep 5, 2014 at 7:17 PM, Chris <bonsxanco at yahoo.com> wrote:
> Say I have a model like
> y = a + B1*x1 + B2*x2 + B3*x3 + B4*x4 + e
> and I want to test
> H0: B2/B1 = 0
As noted by Bert, think about this.
> H0: B2/B1=B4/B3
> (whatever H1). How can I proceed?
> I now about car::linearHypothesis, but I can't figure out a way to do the
> tests above.
> Any hint?
Take a look at car::deltaMethod. I suggest you study the theory of the
delta method. If you happen to have taken a graduate
statistics/econometrics class it should not be difficult and can
provide some insights. If not, at least consider that the delta method
can lead to misleading estimates (biased standard errors) in many
cases for finite samples. You might want to run some simulations to
get a feel for it.
Economics PhD Candidate
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