Hello everyone,
I am running two separate time-series regressions using Newey.
y1= a1 + b1 x1 + e
y2= a2 + b2 x1+ e
I would like to test whether b1=b2 . How can I run a Wald test to do this? I checked many other posts but the only solution offered there was to calculate
z= (b1-b2) / ((stnd err b1)^2+( stnd err b2)^2))^1/2 by hand but this is not exactly the Wald test. I appreciate your help.
I am running two separate time-series regressions using Newey.
y1= a1 + b1 x1 + e
y2= a2 + b2 x1+ e
I would like to test whether b1=b2 . How can I run a Wald test to do this? I checked many other posts but the only solution offered there was to calculate
z= (b1-b2) / ((stnd err b1)^2+( stnd err b2)^2))^1/2 by hand but this is not exactly the Wald test. I appreciate your help.
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